Global Market Rotation 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.'

• Looking at the total return, or increase in value of 56.1% in the last 5 years of Global Market Rotation Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark ACWI (67.7%)
• During the last 3 years, the total return is 43.5%, which is smaller, thus worse than the value of 75.8% 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.'

• Compared with the benchmark ACWI (10.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 9.4% of Global Market Rotation Strategy is smaller, thus worse.
• Looking at annual return (CAGR) in of 12.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (20.7%).

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 9.5%, which is smaller, thus better compared to the benchmark ACWI (16.2%) in the same period.
• Looking at 30 days standard deviation in of 10.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (14.5%).

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.'

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

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark ACWI (0.52) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.72 of Global Market Rotation Strategy is greater, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 1.02, which is lower, thus worse than the value of 1.25 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The ratio of annual return and downside deviation over 5 years of Global Market Rotation Strategy is 1.02, which is higher, thus better compared to the benchmark ACWI (0.76) in the same period.
• Looking at downside risk / excess return profile in of 1.43 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (1.87).

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.'

• Compared with the benchmark ACWI (8.9 ) in the period of the last 5 years, the Ulcer Ratio of 3.19 of Global Market Rotation Strategy is lower, thus better.
• 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.'

• Looking at the maximum reduction from previous high of -10.4 days in the last 5 years of Global Market Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (-26.4 days)
• During the last 3 years, the maximum DrawDown is -7.6 days, which is higher, thus better than the value of -16.5 days from the benchmark.

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 below previous high of 281 days of Global Market Rotation Strategy is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 86 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (62 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.'

• The average time in days below previous high water mark over 5 years of Global Market Rotation Strategy is 55 days, which is lower, thus better compared to the benchmark ACWI (126 days) in the same period.
• Compared with ACWI (13 days) in the period of the last 3 years, the average days below previous high of 21 days is greater, thus worse.