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.'

• The total return, or increase in value over 5 years of Global Sector Rotation Strategy is 45.9%, which is lower, thus worse compared to the benchmark ACWI (64.4%) in the same period.
• Compared with ACWI (69.2%) in the period of the last 3 years, the total return of 39.9% is lower, thus worse.

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 (10.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.9% of Global Sector Rotation Strategy is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 11.9%, which is lower, thus worse than the value of 19.3% from the benchmark.

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.'

• Compared with the benchmark ACWI (16%) in the period of the last 5 years, the volatility of 7.8% of Global Sector Rotation Strategy is smaller, thus better.
• Compared with ACWI (14.3%) in the period of the last 3 years, the 30 days standard deviation of 8.4% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark ACWI (11%) in the period of the last 5 years, the downside volatility of 5.6% of Global Sector Rotation Strategy is lower, thus better.
• Looking at downside risk in of 6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (9.6%).

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.'

• The Sharpe Ratio over 5 years of Global Sector Rotation Strategy is 0.69, which is higher, thus better compared to the benchmark ACWI (0.5) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.13, which is lower, thus worse than the value of 1.18 from the benchmark.

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.'

• The excess return divided by the downside deviation over 5 years of Global Sector Rotation Strategy is 0.96, which is greater, thus better compared to the benchmark ACWI (0.72) in the same period.
• Looking at excess return divided by the downside deviation in of 1.58 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (1.76).

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 Downside risk index over 5 years of Global Sector Rotation Strategy is 3.54 , which is lower, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• Looking at Downside risk index in of 2.09 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (3.22 ).

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 (-26.4 days) in the period of the last 5 years, the maximum drop from peak to valley of -9.2 days of Global Sector Rotation Strategy is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -6.8 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 time in days below previous high water mark of 473 days of Global Sector Rotation Strategy is lower, thus better.
• Looking at maximum days under water in of 150 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (94 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 time in days below previous high water mark of 115 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 (127 days)
• Compared with ACWI (17 days) in the period of the last 3 years, the average days below previous high of 34 days is higher, thus worse.