Global Sector Rotation Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or increase in value over 5 years of Global Sector Rotation Strategy is 102.8%, which is greater, thus better compared to the benchmark ACWI (84.5%) in the same period.
• Looking at total return, or increase in value in of 18.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (25.3%).

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 compounded annual growth rate (CAGR) over 5 years of Global Sector Rotation Strategy is 15.2%, which is higher, thus better compared to the benchmark ACWI (13.1%) in the same period.
• Compared with ACWI (7.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6% is smaller, 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.'

• Compared with the benchmark ACWI (16.8%) in the period of the last 5 years, the historical 30 days volatility of 8.5% of Global Sector Rotation Strategy is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 6.9%, which is lower, thus better than the value of 17.3% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of Global Sector Rotation Strategy is 5.7%, which is lower, thus better compared to the benchmark ACWI (11.7%) in the same period.
• During the last 3 years, the downside deviation is 4.9%, which is smaller, thus better than the value of 12% 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 ratio of return and volatility (Sharpe) over 5 years of Global Sector Rotation Strategy is 1.5, which is greater, thus better compared to the benchmark ACWI (0.63) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.5, which is larger, thus better than the value of 0.31 from the benchmark.

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 downside risk / excess return profile over 5 years of Global Sector Rotation Strategy is 2.22, which is larger, thus better compared to the benchmark ACWI (0.9) in the same period.
• Compared with ACWI (0.45) in the period of the last 3 years, the downside risk / excess return profile of 0.71 is higher, thus better.

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.'

• Compared with the benchmark ACWI (8.89 ) in the period of the last 5 years, the Ulcer Ratio of 3.24 of Global Sector Rotation Strategy is smaller, thus better.
• During the last 3 years, the Downside risk index is 2.47 , which is smaller, thus better than the value of 5.47 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum DrawDown of -9.2 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (-26.4 days)
• Compared with ACWI (-17.4 days) in the period of the last 3 years, the maximum DrawDown of -7.1 days is greater, thus better.

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.'

• 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 463 days of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (270 days) in the period of the last 3 years, the maximum days below previous high of 387 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.'

• The average days below previous high over 5 years of Global Sector Rotation Strategy is 114 days, which is smaller, thus better compared to the benchmark ACWI (128 days) in the same period.
• Compared with ACWI (66 days) in the period of the last 3 years, the average days below previous high of 121 days is larger, thus worse.