Global Market Rotation 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.'

• Looking at the total return, or increase in value of 55.4% in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (66.3%)
• Compared with ACWI (73.9%) in the period of the last 3 years, the total return of 42.7% is smaller, thus worse.

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.'

• Compared with the benchmark ACWI (10.8%) in the period of the last 5 years, the annual performance (CAGR) of 9.3% of Global Market Rotation Strategy is smaller, thus worse.
• Looking at annual performance (CAGR) in of 12.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (20.4%).

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 ACWI (16.2%) in the period of the last 5 years, the volatility of 9.5% of Global Market Rotation Strategy is lower, thus better.
• During the last 3 years, the volatility is 10.2%, which is smaller, thus better than the value of 14.6% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of Global Market Rotation Strategy is 6.7%, which is smaller, thus better compared to the benchmark ACWI (11.2%) in the same period.
• Looking at downside volatility in of 7.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (9.8%).

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 Sharpe Ratio of 0.71 of Global Market Rotation Strategy is larger, thus better.
• Compared with ACWI (1.23) in the period of the last 3 years, the risk / return profile (Sharpe) of 1 is lower, thus worse.

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 Global Market Rotation Strategy is 1.01, which is larger, thus better compared to the benchmark ACWI (0.74) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.41, which is smaller, thus worse than the value of 1.83 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 Global Market Rotation Strategy is 3.19 , which is smaller, thus better compared to the benchmark ACWI (8.91 ) in the same period.
• Looking at Ulcer Index in of 2.19 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (2.88 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum reduction from previous high over 5 years of Global Market Rotation Strategy is -10.4 days, which is larger, thus better compared to the benchmark ACWI (-26.4 days) in the same period.
• Compared with ACWI (-16.5 days) in the period of the last 3 years, the maximum DrawDown of -7.6 days is greater, 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). 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'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum days under water of 281 days of Global Market Rotation Strategy is lower, thus better.
• Compared with ACWI (62 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 86 days is larger, thus worse.

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 under water over 5 years of Global Market Rotation Strategy is 55 days, which is smaller, thus better compared to the benchmark ACWI (126 days) in the same period.
• Looking at average time in days below previous high water mark in of 21 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (13 days).