US Market Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark DIA (76.5%) in the period of the last 5 years, the total return, or increase in value of 86.4% of US Market Strategy is greater, thus better.
• During the last 3 years, the total return, or performance is 66.4%, which is greater, thus better than the value of 52% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of 13.3% in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (12.1%)
• Compared with DIA (15.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 18.6% is greater, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of US Market Strategy is 7.8%, which is lower, thus better compared to the benchmark DIA (14.7%) in the same period.
• Looking at historical 30 days volatility in of 8.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (13.3%).

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• The downside risk over 5 years of US Market Strategy is 5.3%, which is lower, thus better compared to the benchmark DIA (10.1%) in the same period.
• During the last 3 years, the downside deviation is 5.5%, which is lower, thus better than the value of 8.9% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the risk / return profile (Sharpe) of 1.39 in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (0.65)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.98, which is higher, thus better than the value of 0.94 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The ratio of annual return and downside deviation over 5 years of US Market Strategy is 2.03, which is higher, thus better compared to the benchmark DIA (0.95) in the same period.
• Compared with DIA (1.41) in the period of the last 3 years, the excess return divided by the downside deviation of 2.94 is higher, thus better.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark DIA (5.93 ) in the period of the last 5 years, the Ulcer Index of 2.48 of US Market Strategy is lower, thus better.
• During the last 3 years, the Ulcer Index is 1.47 , which is smaller, thus better than the value of 3.43 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of US Market Strategy is -9.2 days, which is larger, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• Compared with DIA (-16 days) in the period of the last 3 years, the maximum DrawDown of -6.8 days is greater, thus better.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum days under water of 261 days of US Market Strategy is lower, thus better.
• During the last 3 years, the maximum days below previous high is 77 days, which is lower, thus better than the value of 142 days from the benchmark.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• The average days under water over 5 years of US Market Strategy is 47 days, which is lower, thus better compared to the benchmark DIA (116 days) in the same period.
• Looking at average days under water in of 16 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (28 days).