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.'

• The total return over 5 years of Global Sector Rotation Strategy is 39.7%, which is lower, thus worse compared to the benchmark ACWI (70.4%) in the same period.
• Compared with ACWI (75.5%) in the period of the last 3 years, the total return, or performance of 43% is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual performance (CAGR) of 6.9% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark ACWI (11.3%)
• Looking at compounded annual growth rate (CAGR) in of 12.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (20.8%).

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 7.9%, which is lower, thus better compared to the benchmark ACWI (16.2%) in the same period.
• Compared with ACWI (14.6%) in the period of the last 3 years, the volatility of 8.6% 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 (11.2%) in the period of the last 5 years, the downside deviation of 5.7% of Global Sector Rotation Strategy is smaller, thus better.
• During the last 3 years, the downside deviation is 6.1%, which is lower, thus better than the value of 9.8% 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 0.56, which is greater, thus better compared to the benchmark ACWI (0.54) in the same period.
• Compared with ACWI (1.25) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.2 is smaller, thus worse.

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.'

• Looking at the downside risk / excess return profile of 0.78 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (0.79)
• Looking at excess return divided by the downside deviation in of 1.68 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (1.86).

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 Ulcer Ratio over 5 years of Global Sector Rotation Strategy is 3.67 , which is lower, thus better compared to the benchmark ACWI (8.91 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 2.25 , which is lower, thus better than the value of 2.89 from the benchmark.

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 (-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 larger, thus better.
• Compared with ACWI (-16.5 days) in the period of the last 3 years, the maximum reduction from previous high of -6.8 days is larger, 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). 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.
• Compared with ACWI (62 days) in the period of the last 3 years, the maximum days below previous high of 111 days is higher, 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 under water over 5 years of Global Sector Rotation Strategy is 118 days, which is smaller, thus better compared to the benchmark ACWI (127 days) in the same period.
• Looking at average days under water in of 28 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (13 days).