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.'

• The total return over 5 years of Global Market Rotation Strategy is 66.2%, which is lower, thus worse compared to the benchmark ACWI (70.6%) in the same period.
• During the last 3 years, the total return is 49.4%, which is lower, thus worse than the value of 72.1% 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.'

• Looking at the annual performance (CAGR) of 10.7% in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (11.3%)
• Looking at annual return (CAGR) in of 14.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (20%).

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 9.2%, which is lower, thus better compared to the benchmark ACWI (16.2%) in the same period.
• Looking at historical 30 days volatility in of 10% 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.'

• The downside volatility over 5 years of Global Market Rotation Strategy is 6.5%, which is lower, thus better compared to the benchmark ACWI (11.1%) in the same period.
• During the last 3 years, the downside volatility is 7%, which is lower, thus better than the value of 9.7% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of Global Market Rotation Strategy is 0.89, which is greater, thus better compared to the benchmark ACWI (0.55) in the same period.
• Compared with ACWI (1.21) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.19 is lower, thus worse.

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 excess return divided by the downside deviation over 5 years of Global Market Rotation Strategy is 1.27, which is larger, thus better compared to the benchmark ACWI (0.79) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.7, which is lower, thus worse than the value of 1.79 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 Ratio over 5 years of Global Market Rotation Strategy is 3.09 , which is smaller, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• Looking at Ulcer Index in of 2.06 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (3.23 ).

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 higher, thus better in comparison to the benchmark ACWI (-26.4 days)
• Looking at maximum drop from peak to valley in of -7.6 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (-16.5 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) in days.'

• 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 smaller, thus better in comparison to the benchmark ACWI (516 days)
• Compared with ACWI (94 days) in the period of the last 3 years, the maximum days under water of 86 days is lower, thus better.

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 smaller, thus better compared to the benchmark ACWI (127 days) in the same period.
• Compared with ACWI (17 days) in the period of the last 3 years, the average days under water of 22 days is greater, thus worse.