World Top 4 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 ACWI (71.1%) in the period of the last 5 years, the total return of 110.9% of World Top 4 Strategy is greater, thus better.
• Compared with ACWI (20.1%) in the period of the last 3 years, the total return, or increase in value of 29.7% is higher, thus better.

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 compounded annual growth rate (CAGR) over 5 years of World Top 4 Strategy is 16.1%, which is larger, thus better compared to the benchmark ACWI (11.4%) in the same period.
• Compared with ACWI (6.3%) in the period of the last 3 years, the annual return (CAGR) of 9.1% is greater, 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.'

• Looking at the historical 30 days volatility 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 (20%)
• Looking at volatility in of 6.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (16.6%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark ACWI (14.4%) in the period of the last 5 years, the downside deviation of 5.7% of World Top 4 Strategy is smaller, thus better.
• Compared with ACWI (11.5%) in the period of the last 3 years, the downside deviation of 4.6% is smaller, 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.'

• Looking at the risk / return profile (Sharpe) of 1.66 in the last 5 years of World Top 4 Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.44)
• Looking at risk / return profile (Sharpe) in of 0.97 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.23).

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.'

• Compared with the benchmark ACWI (0.61) in the period of the last 5 years, the ratio of annual return and downside deviation of 2.37 of World Top 4 Strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.43, which is greater, thus better than the value of 0.33 from the benchmark.

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.'

• The Ulcer Index over 5 years of World Top 4 Strategy is 2.69 , which is lower, thus better compared to the benchmark ACWI (9.93 ) in the same period.
• During the last 3 years, the Ulcer Index is 2.92 , which is lower, thus better than the value of 11 from the benchmark.

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.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -14.6 days of World Top 4 Strategy is greater, thus better.
• Compared with ACWI (-26.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -8.1 days is larger, 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 ACWI (516 days) in the period of the last 5 years, the maximum days below previous high 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.'

• The average days below previous high over 5 years of World Top 4 Strategy is 45 days, which is smaller, thus better compared to the benchmark ACWI (132 days) in the same period.
• Compared with ACWI (191 days) in the period of the last 3 years, the average days below previous high of 59 days is lower, thus better.