US Market 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 91.5% in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (84.8%)
• During the last 3 years, the total return, or increase in value is 35%, which is greater, thus better than the value of 24.5% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of US Market Strategy is 13.9%, which is larger, thus better compared to the benchmark DIA (13.1%) in the same period.
• Compared with DIA (7.6%) in the period of the last 3 years, the annual performance (CAGR) of 10.6% is higher, thus better.

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 30 days standard deviation over 5 years of US Market Strategy is 8.4%, which is lower, thus better compared to the benchmark DIA (16%) in the same period.
• Looking at historical 30 days volatility in of 8.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (15.8%).

DownVol:

'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.'

• The downside deviation over 5 years of US Market Strategy is 5.8%, which is lower, thus better compared to the benchmark DIA (11.1%) in the same period.
• Looking at downside risk in of 5.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (10.9%).

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.'

• The Sharpe Ratio over 5 years of US Market Strategy is 1.37, which is higher, thus better compared to the benchmark DIA (0.66) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.98, which is larger, thus better than the value of 0.32 from the benchmark.

Sortino:

'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.'

• Compared with the benchmark DIA (0.95) in the period of the last 5 years, the downside risk / excess return profile of 1.97 of US Market Strategy is higher, thus better.
• Compared with DIA (0.47) in the period of the last 3 years, the downside risk / excess return profile of 1.41 is larger, thus better.

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.'

• The Ulcer Index over 5 years of US Market Strategy is 2.61 , which is lower, thus better compared to the benchmark DIA (5.95 ) in the same period.
• Compared with DIA (4.58 ) in the period of the last 3 years, the Ulcer Index of 2.4 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.'

• 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 greater, thus better.
• Looking at maximum drop from peak to valley in of -8 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (-16 days).

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) in days.'

• Looking at the maximum time in days below previous high water mark of 261 days in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (477 days)
• Looking at maximum days below previous high in of 117 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (134 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.'

• The average days below previous high over 5 years of US Market Strategy is 48 days, which is smaller, thus better compared to the benchmark DIA (113 days) in the same period.
• Looking at average days below previous high in of 27 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (36 days).