US Market Strategy Unhedged

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (105.3%) in the period of the last 5 years, the total return, or performance of 181.8% of US Market Strategy Unhedged is greater, thus better.
• Compared with SPY (40.6%) in the period of the last 3 years, the total return, or increase in value of 57.7% is higher, thus better.

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 23.1% in the last 5 years of US Market Strategy Unhedged, we see it is relatively higher, thus better in comparison to the benchmark SPY (15.5%)
• Compared with SPY (12.1%) in the period of the last 3 years, the annual return (CAGR) of 16.5% is larger, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (18%) in the period of the last 5 years, the 30 days standard deviation of 17.9% of US Market Strategy Unhedged is lower, thus better.
• Looking at historical 30 days volatility in of 17.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (18.6%).

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 risk of 12.5% in the last 5 years of US Market Strategy Unhedged, we see it is relatively greater, thus worse in comparison to the benchmark SPY (12.5%)
• During the last 3 years, the downside deviation is 12.2%, which is smaller, thus better than the value of 12.7% 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.'

• The risk / return profile (Sharpe) over 5 years of US Market Strategy Unhedged is 1.15, which is greater, thus better compared to the benchmark SPY (0.72) in the same period.
• Compared with SPY (0.52) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.79 is larger, thus better.

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.'

• The excess return divided by the downside deviation over 5 years of US Market Strategy Unhedged is 1.65, which is higher, thus better compared to the benchmark SPY (1.04) in the same period.
• Looking at excess return divided by the downside deviation in of 1.15 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.75).

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.'

• Looking at the Ulcer Index of 5.89 in the last 5 years of US Market Strategy Unhedged, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.46 )
• During the last 3 years, the Ulcer Index is 6.04 , which is larger, thus worse than the value of 5.77 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 SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -20 days of US Market Strategy Unhedged is greater, thus better.
• Looking at maximum DrawDown in of -18.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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 SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 262 days of US Market Strategy Unhedged is lower, thus better.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 157 days is lower, thus better.

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 SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 49 days of US Market Strategy Unhedged is smaller, thus better.
• Looking at average days below previous high in of 38 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (46 days).