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.'

• Looking at the total return, or performance of 53.3% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark ACWI (103.8%)
• During the last 3 years, the total return, or increase in value is 27.5%, which is lower, thus worse than the value of 37.2% from the benchmark.

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.'

• Compared with the benchmark ACWI (15.3%) in the period of the last 5 years, the annual performance (CAGR) of 8.9% of Global Sector Rotation Strategy is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 8.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (11.1%).

Volatility:

'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.'

• Looking at the 30 days standard deviation of 9% 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 historical 30 days volatility in of 10.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (21.5%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of Global Sector Rotation Strategy is 6.6%, which is lower, thus better compared to the benchmark ACWI (13.3%) in the same period.
• During the last 3 years, the downside deviation is 7.8%, which is lower, thus better than the value of 16% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of Global Sector Rotation Strategy is 0.72, which is higher, thus better compared to the benchmark ACWI (0.71) in the same period.
• Looking at Sharpe Ratio in of 0.57 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.4).

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.'

• Looking at the downside risk / excess return profile of 0.97 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.96)
• During the last 3 years, the ratio of annual return and downside deviation is 0.76, which is higher, thus better than the value of 0.54 from the benchmark.

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.'

• Looking at the Ulcer Ratio of 4.31 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (6.27 )
• Compared with ACWI (7.15 ) in the period of the last 3 years, the Ulcer Ratio of 5.32 is lower, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum drop from peak to valley 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 drop from peak to valley is -23.8 days, which is higher, thus better than the value of -33.5 days from the benchmark.

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'

• The maximum time in days below previous high water mark over 5 years of Global Sector Rotation Strategy is 218 days, which is smaller, thus better compared to the benchmark ACWI (373 days) in the same period.
• Compared with ACWI (138 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 218 days is larger, 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 time in days below previous high water mark over 5 years of Global Sector Rotation Strategy is 47 days, which is lower, thus better compared to the benchmark ACWI (81 days) in the same period.
• Looking at average time in days below previous high water mark in of 45 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (46 days).