Global Sector 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 (83.9%) in the period of the last 5 years, the total return, or performance of 93.7% of Global Sector Rotation Strategy is greater, thus better.
• Compared with ACWI (40.9%) in the period of the last 3 years, the total return, or performance of 20.1% 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.'

• The annual return (CAGR) over 5 years of Global Sector Rotation Strategy is 14.2%, which is higher, thus better compared to the benchmark ACWI (13%) in the same period.
• Looking at annual return (CAGR) in of 6.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (12.2%).

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 Sector Rotation Strategy is 8.5%, which is smaller, thus better compared to the benchmark ACWI (16.6%) in the same period.
• Looking at historical 30 days volatility in of 7.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (16.7%).

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 Sector Rotation Strategy is 5.8%, which is lower, thus better compared to the benchmark ACWI (11.6%) in the same period.
• Compared with ACWI (11.3%) in the period of the last 3 years, the downside risk of 5% 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 (0.63) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.37 of Global Sector Rotation Strategy is higher, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 0.54 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (0.58).

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 excess return divided by the downside deviation over 5 years of Global Sector Rotation Strategy is 2.01, which is greater, thus better compared to the benchmark ACWI (0.91) in the same period.
• Compared with ACWI (0.86) in the period of the last 3 years, the excess return divided by the downside deviation of 0.76 is smaller, 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.'

• The Downside risk index over 5 years of Global Sector Rotation Strategy is 3.45 , which is smaller, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• Compared with ACWI (5.01 ) in the period of the last 3 years, the Ulcer Index of 2.57 is lower, thus better.

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 Sector Rotation Strategy is -9.2 days, which is larger, thus better compared to the benchmark ACWI (-26.4 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -6.9 days, which is greater, 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 under water of 473 days of Global Sector Rotation Strategy is smaller, thus better.
• Compared with ACWI (115 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 391 days is larger, 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.'

• Looking at the average time in days below previous high water mark of 117 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (128 days)
• Compared with ACWI (29 days) in the period of the last 3 years, the average days under water of 123 days is larger, thus worse.