World Top 4 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 ACWI (58.7%) in the period of the last 5 years, the total return of 101.9% of World Top 4 Strategy is greater, thus better.
• Compared with ACWI (13.6%) in the period of the last 3 years, the total return, or increase in value of 30.2% is greater, 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 15.1% in the last 5 years of World Top 4 Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (9.7%)
• Compared with ACWI (4.3%) in the period of the last 3 years, the annual return (CAGR) of 9.2% 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.'

• Compared with the benchmark ACWI (20%) in the period of the last 5 years, the volatility of 8.2% of World Top 4 Strategy is smaller, thus better.
• During the last 3 years, the 30 days standard deviation is 6.4%, which is lower, thus better than the value of 16.3% from the benchmark.

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 deviation over 5 years of World Top 4 Strategy is 5.7%, which is smaller, thus better compared to the benchmark ACWI (14.5%) in the same period.
• During the last 3 years, the downside volatility is 4.3%, which is lower, thus better than the value of 11.4% 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 1.55 in the last 5 years of World Top 4 Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (0.36)
• Looking at Sharpe Ratio in of 1.04 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.11).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of 2.21 in the last 5 years of World Top 4 Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (0.5)
• Looking at excess return divided by the downside deviation in of 1.56 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.16).

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.'

• Compared with the benchmark ACWI (9.95 ) in the period of the last 5 years, the Ulcer Ratio of 2.68 of World Top 4 Strategy is lower, thus better.
• Looking at Downside risk index in of 2.83 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (11 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum DrawDown over 5 years of World Top 4 Strategy is -14.6 days, which is greater, thus better compared to the benchmark ACWI (-33.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -8.1 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (-26.4 days).

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 ACWI (516 days) in the period of the last 5 years, the maximum days under water of 247 days of World Top 4 Strategy is lower, thus better.
• Compared with ACWI (516 days) in the period of the last 3 years, the maximum days under water of 247 days is lower, thus better.

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.'

• Compared with the benchmark ACWI (133 days) in the period of the last 5 years, the average days under water of 45 days of World Top 4 Strategy is lower, thus better.
• During the last 3 years, the average days under water is 60 days, which is lower, thus better than the value of 193 days from the benchmark.