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 performance of 55.9% in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (69.3%)
• Looking at total return in of 46.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (80.5%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark ACWI (11.2%) in the period of the last 5 years, the annual performance (CAGR) of 9.3% of Global Market Rotation Strategy is lower, thus worse.
• Looking at annual performance (CAGR) in of 13.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (21.9%).

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 volatility of 9.5% in the last 5 years of Global Market Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (16.3%)
• During the last 3 years, the 30 days standard deviation is 10.1%, which is smaller, thus better than the value of 14.6% 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.'

• Looking at the downside deviation 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%)
• Looking at downside risk 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 (0.53) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.72 of Global Market Rotation Strategy is larger, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 1.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (1.33).

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.'

• Looking at the excess return divided by the downside deviation of 1.02 in the last 5 years of Global Market Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.78)
• Looking at ratio of annual return and downside deviation in of 1.55 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (1.99).

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 3.21 , which is lower, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• During the last 3 years, the Downside risk index is 2.18 , which is lower, thus better than the value of 2.72 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.'

• 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 reduction from previous high of -7.6 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). 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'

• Looking at the maximum days below previous high of 281 days in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (516 days)
• 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 greater, thus worse.

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 (127 days) in the period of the last 5 years, the average days below previous high of 56 days of Global Market Rotation Strategy is lower, thus better.
• 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 greater, thus worse in comparison to ACWI (12 days).