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.'

• The total return, or increase in value over 5 years of US Market Strategy is 85.1%, which is greater, thus better compared to the benchmark DIA (59.9%) in the same period.
• During the last 3 years, the total return is 62.5%, which is higher, thus better than the value of 61% 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 13.2%, which is larger, thus better compared to the benchmark DIA (9.9%) in the same period.
• Looking at annual performance (CAGR) in of 17.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (17.3%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 8.1% in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (14.8%)
• Looking at volatility in of 8.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (13.4%).

DownVol:

'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.'

• Compared with the benchmark DIA (10.1%) in the period of the last 5 years, the downside risk of 5.6% of US Market Strategy is smaller, thus better.
• Compared with DIA (8.9%) in the period of the last 3 years, the downside deviation of 5.9% is lower, thus better.

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 1.32 in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.5)
• During the last 3 years, the Sharpe Ratio is 1.79, which is larger, thus better than the value of 1.1 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.'

• The ratio of annual return and downside deviation over 5 years of US Market Strategy is 1.92, which is higher, thus better compared to the benchmark DIA (0.73) in the same period.
• Looking at excess return divided by the downside deviation in of 2.59 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (1.67).

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.'

• The Ulcer Index over 5 years of US Market Strategy is 2.61 , which is lower, thus better compared to the benchmark DIA (6.01 ) in the same period.
• Looking at Ulcer Ratio in of 1.74 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (3.52 ).

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.'

• Looking at the maximum reduction from previous high of -9.2 days in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (-20.8 days)
• 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 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) in days.'

• The maximum time in days below previous high water mark over 5 years of US Market Strategy is 261 days, which is lower, thus better compared to the benchmark DIA (477 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 77 days in the period of the last 3 years, we see it is relatively lower, 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.'

• The average time in days below previous high water mark over 5 years of US Market Strategy is 48 days, which is lower, thus better compared to the benchmark DIA (116 days) in the same period.
• 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).