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 increase in value of 83.1% in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (74.8%)
• During the last 3 years, the total return, or performance is 57.9%, which is greater, thus better than the value of 48.2% 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.'

• Looking at the annual performance (CAGR) of 12.9% in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (11.9%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 16.5%, which is larger, thus better than the value of 14.1% from the benchmark.

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 30 days standard deviation over 5 years of US Market Strategy is 7.7%, which is lower, thus better compared to the benchmark DIA (14.7%) in the same period.
• Looking at 30 days standard deviation in of 8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (13.5%).

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.'

• Looking at the downside deviation of 5.3% in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (10.1%)
• During the last 3 years, the downside deviation is 5.4%, which is smaller, thus better than the value of 9.1% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark DIA (0.64) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.35 of US Market Strategy is higher, thus better.
• Compared with DIA (0.85) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.75 is greater, thus better.

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.'

• Looking at the downside risk / excess return profile of 1.96 in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.93)
• During the last 3 years, the excess return divided by the downside deviation is 2.59, which is greater, thus better than the value of 1.27 from the benchmark.

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.'

• Compared with the benchmark DIA (5.92 ) in the period of the last 5 years, the Ulcer Index of 2.47 of US Market Strategy is lower, thus better.
• Compared with DIA (3.54 ) in the period of the last 3 years, the Downside risk index of 1.44 is lower, thus better.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum reduction from previous high over 5 years of US Market Strategy is -9.2 days, which is higher, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• Looking at maximum drop from peak to valley in of -6.8 days in the period of the last 3 years, we see it is relatively greater, 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.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum days below previous high of 261 days of US Market Strategy is smaller, 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 Average 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. 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.'

• Compared with the benchmark DIA (116 days) in the period of the last 5 years, the average time in days below previous high water mark of 47 days of US Market Strategy is lower, thus better.
• Compared with DIA (39 days) in the period of the last 3 years, the average days below previous high of 15 days is smaller, thus better.