US Market 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.'

• Looking at the total return, or performance of 81.9% in the last 5 years of US Market Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (57.2%)
• Compared with DIA (56.2%) in the period of the last 3 years, the total return of 62.1% is larger, thus better.

CAGR:

'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.'

• Looking at the annual return (CAGR) of 12.7% in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (9.5%)
• Looking at annual performance (CAGR) in of 17.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (16.1%).

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.'

• The volatility over 5 years of US Market Strategy is 8.1%, which is lower, thus better compared to the benchmark DIA (14.8%) in the same period.
• During the last 3 years, the volatility is 8.5%, which is lower, thus better than the value of 13.5% from the benchmark.

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 US Market Strategy is 5.6%, which is lower, thus better compared to the benchmark DIA (10.1%) in the same period.
• During the last 3 years, the downside deviation is 5.9%, which is smaller, thus better than the value of 8.9% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 1.27 in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.47)
• During the last 3 years, the Sharpe Ratio is 1.78, which is larger, thus better than the value of 1.01 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.'

• Compared with the benchmark DIA (0.69) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.84 of US Market Strategy is larger, thus better.
• Looking at ratio of annual return and downside deviation in of 2.57 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (1.53).

Ulcer:

'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.'

• Looking at the Ulcer Index of 2.6 in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (6.01 )
• Compared with DIA (3.52 ) in the period of the last 3 years, the Downside risk index of 1.74 is smaller, 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.'

• Compared with the benchmark DIA (-20.8 days) in the period of the last 5 years, the maximum drop from peak to valley of -9.2 days of US Market Strategy is larger, thus better.
• Compared with DIA (-16 days) in the period of the last 3 years, the maximum drop from peak to valley of -6.8 days is larger, thus better.

MaxDuration:

'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.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 261 days of US Market Strategy is lower, thus better.
• Looking at maximum days below previous high in of 77 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (142 days).

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.'

• Looking at the average days below previous high of 47 days in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (116 days)
• Looking at average days below previous high in of 17 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (29 days).