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.'

• Compared with the benchmark ACWI (94.2%) in the period of the last 5 years, the total return, or performance of 47.9% of Global Sector Rotation Strategy is lower, thus worse.
• During the last 3 years, the total return is 31.3%, which is lower, thus worse than the value of 48.3% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 8.2% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (14.2%)
• Looking at compounded annual growth rate (CAGR) in of 9.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (14%).

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 (17.9%) in the period of the last 5 years, the 30 days standard deviation of 9.2% of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (21.5%) in the period of the last 3 years, the volatility of 10.8% is lower, thus better.

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 6.9%, 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 lower, thus better than the value of 15.9% 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.'

• Looking at the Sharpe Ratio of 0.62 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (0.66)
• Compared with ACWI (0.54) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.65 is higher, thus better.

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.'

• Compared with the benchmark ACWI (0.89) in the period of the last 5 years, the excess return divided by the downside deviation of 0.82 of Global Sector Rotation Strategy is lower, thus worse.
• Compared with ACWI (0.73) in the period of the last 3 years, the downside risk / excess return profile of 0.85 is larger, thus better.

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.'

• Compared with the benchmark ACWI (6.26 ) in the period of the last 5 years, the Downside risk index of 4.4 of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (7.08 ) in the period of the last 3 years, the Ulcer Ratio of 5.44 is lower, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -23.8 days of Global Sector Rotation Strategy is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -23.8 days, which is greater, thus better than the value of -33.5 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.'

• The maximum days below previous high 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.
• During the last 3 years, the maximum time in days below previous high water mark is 218 days, which is larger, thus worse than the value of 138 days from the benchmark.

AveDuration:

'The Average 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. 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.'

• Compared with the benchmark ACWI (81 days) in the period of the last 5 years, the average days below previous high of 50 days of Global Sector Rotation Strategy is lower, thus better.
• Looking at average time in days below previous high water mark in of 49 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (37 days).