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 (59.6%) in the period of the last 5 years, the total return of 89.6% of Global Sector Rotation Strategy is larger, thus better.
• Looking at total return in of 10.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (19.8%).

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 performance (CAGR) over 5 years of Global Sector Rotation Strategy is 13.7%, which is larger, thus better compared to the benchmark ACWI (9.8%) in the same period.
• Looking at annual return (CAGR) in of 3.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (6.2%).

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 volatility over 5 years of Global Sector Rotation Strategy is 9.3%, which is smaller, thus better compared to the benchmark ACWI (20%) in the same period.
• Looking at volatility in of 6.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (16.5%).

DownVol:

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

• The downside deviation over 5 years of Global Sector Rotation Strategy is 6.6%, which is lower, thus better compared to the benchmark ACWI (14.5%) in the same period.
• Looking at downside deviation in of 4.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (11.5%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The ratio of return and volatility (Sharpe) over 5 years of Global Sector Rotation Strategy is 1.2, which is greater, thus better compared to the benchmark ACWI (0.37) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.14 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (0.23).

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 1.68 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.5)
• Looking at downside risk / excess return profile in of 0.2 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (0.32).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Ratio of 3.61 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (9.94 )
• Compared with ACWI (10 ) in the period of the last 3 years, the Ulcer Ratio of 3.85 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.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum DrawDown of -16.8 days of Global Sector Rotation Strategy is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -9.2 days, which is larger, thus better than the value of -25.1 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days below previous high of 463 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 (516 days)
• During the last 3 years, the maximum days under water is 463 days, which is lower, thus better than the value of 483 days from the benchmark.

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 under water of 113 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 (131 days)
• During the last 3 years, the average days under water is 162 days, which is lower, thus better than the value of 170 days from the benchmark.