Global Sector 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 49% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark ACWI (97.1%)
• Compared with ACWI (57.2%) in the period of the last 3 years, the total return, or increase in value of 30.2% 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 (14.5%) in the period of the last 5 years, the annual performance (CAGR) of 8.3% of Global Sector Rotation Strategy is lower, thus worse.
• Compared with ACWI (16.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 9.2% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The 30 days standard deviation over 5 years of Global Sector Rotation Strategy is 9.1%, which is lower, thus better compared to the benchmark ACWI (17.8%) in the same period.
• Looking at historical 30 days volatility in of 10.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (21.5%).

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 Sector Rotation Strategy is 6.9%, which is smaller, thus better compared to the benchmark ACWI (13.2%) in the same period.
• During the last 3 years, the downside deviation is 8.2%, which is smaller, thus better than the value of 15.9% from the benchmark.

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 (0.67) in the period of the last 5 years, the Sharpe Ratio of 0.64 of Global Sector Rotation Strategy is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.62 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (0.64).

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.'

• Compared with the benchmark ACWI (0.91) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.85 of Global Sector Rotation Strategy is lower, thus worse.
• Compared with ACWI (0.87) in the period of the last 3 years, the downside risk / excess return profile of 0.81 is lower, thus worse.

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 (6.26 ) in the period of the last 5 years, the Ulcer Ratio of 4.36 of Global Sector Rotation Strategy is smaller, thus better.
• Looking at Ulcer Index in of 5.46 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (6.6 ).

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.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum reduction from previous high of -23.8 days of Global Sector Rotation Strategy is higher, thus better.
• Looking at maximum drop from peak to valley in of -23.8 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (-33.5 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.'

• The maximum days under water over 5 years of Global Sector Rotation Strategy is 218 days, which is lower, thus better compared to the benchmark ACWI (373 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 218 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (133 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.'

• Looking at the average days below previous high of 43 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (80 days)
• During the last 3 years, the average days below previous high is 49 days, which is greater, thus worse than the value of 27 days from the benchmark.