Global Sector Rotation Strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return over 5 years of Global Sector Rotation Strategy is 89.8%, which is higher, thus better compared to the benchmark ACWI (60.5%) in the same period.
• During the last 3 years, the total return is 11%, which is lower, thus worse than the value of 20.8% from the benchmark.

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.'

• Compared with the benchmark ACWI (10%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 13.7% of Global Sector Rotation Strategy is greater, thus better.
• Looking at annual return (CAGR) in of 3.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (6.5%).

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 lower, 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 volatility of 6.5% 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 volatility 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.
• During the last 3 years, the downside deviation is 4.7%, which is smaller, thus better than the value of 11.5% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The ratio of return and volatility (Sharpe) over 5 years of Global Sector Rotation Strategy is 1.2, which is higher, thus better compared to the benchmark ACWI (0.37) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.16, which is lower, thus worse than the value of 0.24 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of Global Sector Rotation Strategy is 1.69, which is higher, thus better compared to the benchmark ACWI (0.51) in the same period.
• Compared with ACWI (0.35) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.22 is lower, thus worse.

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.'

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

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.'

• The maximum DrawDown 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.
• Compared with ACWI (-25.1 days) in the period of the last 3 years, the maximum DrawDown of -9.2 days is higher, 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'

• Looking at the maximum days under water 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 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.'

• The average days under water over 5 years of Global Sector Rotation Strategy is 113 days, which is lower, thus better compared to the benchmark ACWI (131 days) in the same period.
• Compared with ACWI (170 days) in the period of the last 3 years, the average time in days below previous high water mark of 162 days is smaller, thus better.