Global Market Rotation 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 (80.5%) in the period of the last 5 years, the total return of 85.5% of Global Market Rotation Strategy is higher, thus better.
• During the last 3 years, the total return is 22.2%, which is lower, thus worse than the value of 36.7% from the benchmark.

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.'

• The annual return (CAGR) over 5 years of Global Market Rotation Strategy is 13.2%, which is larger, thus better compared to the benchmark ACWI (12.6%) in the same period.
• Compared with ACWI (11%) in the period of the last 3 years, the annual performance (CAGR) of 6.9% is lower, thus worse.

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.'

• The historical 30 days volatility over 5 years of Global Market Rotation Strategy is 9.8%, which is lower, thus better compared to the benchmark ACWI (19.7%) in the same period.
• Looking at historical 30 days volatility in of 8.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (16.1%).

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 (14.2%) in the period of the last 5 years, the downside deviation of 6.9% of Global Market Rotation Strategy is lower, thus better.
• During the last 3 years, the downside risk is 5.8%, which is lower, thus better than the value of 11.1% 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.'

• Compared with the benchmark ACWI (0.51) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.09 of Global Market Rotation Strategy is greater, thus better.
• Looking at Sharpe Ratio in of 0.54 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (0.53).

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.'

• The ratio of annual return and downside deviation over 5 years of Global Market Rotation Strategy is 1.55, which is higher, thus better compared to the benchmark ACWI (0.71) in the same period.
• Compared with ACWI (0.77) in the period of the last 3 years, the downside risk / excess return profile of 0.76 is lower, thus worse.

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.'

• Compared with the benchmark ACWI (9.1 ) in the period of the last 5 years, the Ulcer Index of 3.18 of Global Market Rotation Strategy is lower, thus better.
• Looking at Ulcer Index in of 3.6 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (8.61 ).

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 (-26.4 days) in the period of the last 5 years, the maximum drop from peak to valley of -11.6 days of Global Market Rotation Strategy is higher, thus better.
• Looking at maximum DrawDown in of -10.4 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (-23.3 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 below previous high over 5 years of Global Market Rotation Strategy is 281 days, which is smaller, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum days under water in of 281 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (334 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 ACWI (128 days) in the period of the last 5 years, the average days below previous high of 54 days of Global Market Rotation Strategy is lower, thus better.
• During the last 3 years, the average days below previous high is 73 days, which is smaller, thus better than the value of 92 days from the benchmark.