World Top 4 Strategy

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.'

• The total return, or increase in value over 5 years of World Top 4 Strategy is 107.4%, which is higher, thus better compared to the benchmark ACWI (84.3%) in the same period.
• Looking at total return, or increase in value in of 47.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (61.6%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual performance (CAGR) over 5 years of World Top 4 Strategy is 15.8%, which is greater, thus better compared to the benchmark ACWI (13.1%) in the same period.
• During the last 3 years, the annual return (CAGR) is 13.9%, which is lower, thus worse than the value of 17.4% from the benchmark.

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.'

• Looking at the 30 days standard deviation of 8.2% in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (16.3%)
• During the last 3 years, the 30 days standard deviation is 7.7%, which is smaller, thus better than the value of 16.1% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 volatility over 5 years of World Top 4 Strategy is 5.4%, which is lower, thus better compared to the benchmark ACWI (11.2%) in the same period.
• Compared with ACWI (10.6%) in the period of the last 3 years, the downside risk of 5.1% is lower, thus better.

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.'

• Compared with the benchmark ACWI (0.65) in the period of the last 5 years, the Sharpe Ratio of 1.61 of World Top 4 Strategy is greater, thus better.
• Looking at risk / return profile (Sharpe) in of 1.48 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (0.93).

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 World Top 4 Strategy is 2.44, which is greater, thus better compared to the benchmark ACWI (0.94) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 2.25, which is higher, thus better than the value of 1.4 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Ulcer Index over 5 years of World Top 4 Strategy is 2.46 , which is lower, thus better compared to the benchmark ACWI (8.89 ) in the same period.
• Compared with ACWI (4.67 ) in the period of the last 3 years, the Ulcer Ratio of 1.8 is lower, thus better.

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.'

• The maximum drop from peak to valley over 5 years of World Top 4 Strategy is -8.2 days, which is larger, thus better compared to the benchmark ACWI (-26.4 days) in the same period.
• Looking at maximum DrawDown in of -6.4 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (-16.5 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days under water over 5 years of World Top 4 Strategy is 247 days, which is smaller, thus better compared to the benchmark ACWI (516 days) in the same period.
• During the last 3 years, the maximum days under water is 102 days, which is smaller, thus better than the value of 115 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.'

• Compared with the benchmark ACWI (129 days) in the period of the last 5 years, the average time in days below previous high water mark of 44 days of World Top 4 Strategy is lower, thus better.
• Looking at average days under water in of 24 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (28 days).