The Global Sector Rotation Strategy (GSRS) provides a good diversification to our other strategies. The strategy invests in the top two performing global sectors. Global sector ETFs often display well-defined, long lasting, up or down trends which makes them a good fit rotation strategies. Another advantage of sector rotation strategies is that even in sideways markets, there are often still individual sectors that are performing well.

This strategy consists of three sub-strategies: GSRS aggressive , GSRS low-volatility and the HEDGE sub-strategies.

- CUT - Guggenheim Beacon Global Timber Equities
- KXI - iShares S&P Global Consumer Staples
- EXI - iShares S&P Global Industrials
- LIT - Global X Solactive Lithium Index
- FAN - First Trust ISE Global Wind Energy
- MOO - Market Vectors Agribusiness
- NLR - Market Vectors Nuclear Energy
- GNR - SPDR S&P Global Natural Resources
- PIO - PowerShares Palisades Global Water
- GURU - Global X Top Guru Holdings
- PKW - PowerShares Buyback Achievers
- IGF - iShares S&P Global Infrastructure Index
- REMX - Market Vectors Rare Earth Strategic Metals
- IXC - iShares S&P Global Energy Sector Index
- RWX - SPDR DJ International Real Estate
- IXG - iShares S&P Global Financials
- RXI - iShares S&P Global Consumer Discretionary
- IXJ - iShares S&P Global Healthcare Sector
- SEA - Guggenheim Delta Global Shipping Index
- IXN - iShares S&P Global Technology
- SLX - Market Vectors Global Steel
- IXP - iShares S&P Global Telecom Sector
- SOIL - GlobalX Solactive Fertilizers-Potash
- KOL - Market Vectors Global Coal
- TAN - Guggenheim MAC Global Solar Energy
- FPX - First Trust US IPO ETF
- JXI - iShares Global Utilities

'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.'

Which means for our asset as example:- Looking at the total return, or increase in value of 105.5% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (64.6%)
- Looking at total return, or performance in of 14.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (21.7%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark ACWI (10.5%) in the period of the last 5 years, the annual performance (CAGR) of 15.5% of Global Sector Rotation Strategy is larger, thus better.
- During the last 3 years, the annual performance (CAGR) is 4.6%, which is lower, thus worse than the value of 6.8% from the benchmark.

'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.'

Which means for our asset as example:- The volatility over 5 years of Global Sector Rotation Strategy is 9.4%, which is smaller, thus better compared to the benchmark ACWI (20%) in the same period.
- Compared with ACWI (16.5%) in the period of the last 3 years, the 30 days standard deviation of 6.3% is smaller, thus better.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Applying this definition to our asset in some examples:- Looking at the downside volatility of 6.6% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (14.5%)
- During the last 3 years, the downside deviation is 4.5%, which is lower, thus better than the value of 11.4% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the risk / return profile (Sharpe) of 1.39 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.4)
- During the last 3 years, the risk / return profile (Sharpe) is 0.32, which is greater, thus better than the value of 0.26 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the ratio of annual return and downside deviation of 1.97 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.55)
- Compared with ACWI (0.38) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.45 is larger, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark ACWI (9.95 ) in the period of the last 5 years, the Ulcer Index of 3.64 of Global Sector Rotation Strategy is lower, thus better.
- During the last 3 years, the Ulcer Index is 3.92 , which is smaller, thus better than the value of 11 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The maximum drop from peak to valley over 5 years of Global Sector Rotation Strategy is -16.8 days, which is greater, thus better compared to the benchmark ACWI (-33.5 days) in the same period.
- Looking at maximum DrawDown in of -9.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (-26.4 days).

'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.'

Which means for our asset as example:- 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 smaller, thus better.
- Compared with ACWI (516 days) in the period of the last 3 years, the maximum days below previous high of 463 days is lower, thus better.

'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.'

Which means for our asset as example:- The average days below previous high over 5 years of Global Sector Rotation Strategy is 113 days, which is smaller, thus better compared to the benchmark ACWI (134 days) in the same period.
- During the last 3 years, the average days under water is 164 days, which is lower, thus better than the value of 195 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Global Sector Rotation Strategy are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.