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, 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark ACWI (76.8%) in the period of the last 5 years, the total return, or performance of 46.1% of Global Sector Rotation Strategy is lower, thus worse.
- During the last 3 years, the total return, or performance is 23.4%, which is smaller, thus worse than the value of 52.5% from the benchmark.

'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.'

Which means for our asset as example:- The annual performance (CAGR) over 5 years of Global Sector Rotation Strategy is 7.9%, which is lower, thus worse compared to the benchmark ACWI (12.1%) in the same period.
- Looking at annual performance (CAGR) in of 7.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (15.1%).

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Using this definition on our asset we see for example:- Looking at the volatility of 9.2% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (18%)
- Looking at volatility in of 10.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (21%).

'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:- Compared with the benchmark ACWI (13.3%) in the period of the last 5 years, the downside risk of 6.9% of Global Sector Rotation Strategy is lower, thus better.
- During the last 3 years, the downside volatility is 8.2%, which is lower, thus better than the value of 15.6% 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 ratio of return and volatility (Sharpe) of 0.59 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.53)
- Looking at risk / return profile (Sharpe) in of 0.44 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (0.6).

'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.'

Using this definition on our asset we see for example:- Looking at the excess return divided by the downside deviation of 0.78 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.72)
- Looking at ratio of annual return and downside deviation in of 0.58 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (0.81).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark ACWI (6.29 ) in the period of the last 5 years, the Ulcer Ratio of 4.38 of Global Sector Rotation Strategy is lower, thus better.
- Looking at Ulcer Ratio in of 5.49 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (6.4 ).

'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.'

Which means for our asset as example:- Looking at the maximum reduction from previous high of -23.8 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (-33.5 days)
- During the last 3 years, the maximum DrawDown is -23.8 days, which is larger, thus better than the value of -33.5 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum days below previous high of 218 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (373 days)
- During the last 3 years, the maximum days under water is 218 days, which is larger, thus worse than the value of 133 days from the benchmark.

'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:- Compared with the benchmark ACWI (80 days) in the period of the last 5 years, the average time in days below previous high water mark of 45 days of Global Sector Rotation Strategy is lower, thus better.
- Looking at average time in days below previous high water mark in of 53 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (25 days).

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.