US Market Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of 76% in the last 5 years of US Market Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark DIA (81.8%)
• Compared with DIA (56.5%) in the period of the last 3 years, the total return, or performance of 28.7% is smaller, thus worse.

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.'

• Compared with the benchmark DIA (12.7%) in the period of the last 5 years, the annual performance (CAGR) of 12% of US Market Strategy is lower, thus worse.
• Compared with DIA (16.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.8% is lower, thus worse.

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 30 days standard deviation of 7% in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (13.7%)
• Compared with DIA (13.2%) in the period of the last 3 years, the 30 days standard deviation of 6.4% is lower, thus better.

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.'

• Compared with the benchmark DIA (15.2%) in the period of the last 5 years, the downside deviation of 7.9% of US Market Strategy is lower, thus better.
• Compared with DIA (15%) in the period of the last 3 years, the downside deviation of 7.6% 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.'

• Compared with the benchmark DIA (0.75) 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.
• During the last 3 years, the risk / return profile (Sharpe) is 0.98, which is lower, thus worse than the value of 1.03 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of US Market Strategy is 1.2, which is larger, thus better compared to the benchmark DIA (0.67) in the same period.
• Compared with DIA (0.91) in the period of the last 3 years, the excess return divided by the downside deviation of 0.82 is smaller, thus worse.

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 Downside risk index of 1.75 in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (4.26 )
• Looking at Downside risk index in of 1.84 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (4.23 ).

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.'

• The maximum DrawDown over 5 years of US Market Strategy is -6.9 days, which is higher, thus better compared to the benchmark DIA (-18.1 days) in the same period.
• During the last 3 years, the maximum DrawDown is -6.9 days, which is greater, thus better than the value of -18.1 days from the benchmark.

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.'

• Looking at the maximum days under water of 132 days in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (227 days)
• Looking at maximum days under water in of 112 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (161 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 (54 days) in the period of the last 5 years, the average time in days below previous high water mark of 29 days of US Market Strategy is lower, thus better.
• During the last 3 years, the average days below previous high is 26 days, which is smaller, thus better than the value of 44 days from the benchmark.