US Market Strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark DIA (59%) in the period of the last 5 years, the total return, or increase in value of 101.7% of US Market Strategy is larger, thus better.
• Looking at total return in of 31.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (18.4%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark DIA (9.7%) in the period of the last 5 years, the annual performance (CAGR) of 15.1% of US Market Strategy is larger, thus better.
• Compared with DIA (5.8%) in the period of the last 3 years, the annual return (CAGR) of 9.5% is higher, thus better.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The 30 days standard deviation over 5 years of US Market Strategy is 9%, which is lower, thus better compared to the benchmark DIA (20.7%) in the same period.
• Compared with DIA (14.7%) in the period of the last 3 years, the volatility of 7% is smaller, thus better.

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.'

• Looking at the downside volatility of 6.2% in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (14.9%)
• During the last 3 years, the downside risk is 4.7%, which is lower, thus better than the value of 10.3% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the ratio of return and volatility (Sharpe) of 1.4 in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (0.35)
• Looking at Sharpe Ratio in of 1 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.22).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the excess return divided by the downside deviation of 2.02 in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.48)
• During the last 3 years, the ratio of annual return and downside deviation is 1.49, which is greater, thus better than the value of 0.32 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Ratio of 2.76 in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (7.69 )
• During the last 3 years, the Downside risk index is 2.94 , which is lower, thus better than the value of 7.06 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark DIA (-36.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -13.1 days of US Market Strategy is higher, thus better.
• Looking at maximum drop from peak to valley in of -9.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (-20.8 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum days below previous high of 261 days of US Market Strategy is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 261 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (477 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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.'

• Compared with the benchmark DIA (123 days) in the period of the last 5 years, the average days under water of 49 days of US Market Strategy is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 68 days, which is lower, thus better than the value of 168 days from the benchmark.