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.'

• Compared with the benchmark DIA (66.8%) in the period of the last 5 years, the total return, or increase in value of 99.2% of US Market Strategy is higher, thus better.
• Looking at total return in of 30.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (27.3%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual return (CAGR) of 14.8% in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (10.8%)
• Looking at annual return (CAGR) in of 9.3% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (8.4%).

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 9.2%, which is smaller, thus better compared to the benchmark DIA (20.6%) in the same period.
• Looking at 30 days standard deviation in of 7.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (14.7%).

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.'

• Looking at the downside deviation of 6.4% in the last 5 years of US Market Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (14.8%)
• Compared with DIA (10.2%) in the period of the last 3 years, the downside risk of 5.3% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of US Market Strategy is 1.34, which is greater, thus better compared to the benchmark DIA (0.4) in the same period.
• Compared with DIA (0.4) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.88 is higher, thus better.

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 excess return divided by the downside deviation over 5 years of US Market Strategy is 1.92, which is higher, thus better compared to the benchmark DIA (0.56) in the same period.
• Compared with DIA (0.58) in the period of the last 3 years, the downside risk / excess return profile of 1.28 is higher, thus better.

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.'

• Looking at the Downside risk index of 2.79 in the last 5 years of US Market Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (7.69 )
• During the last 3 years, the Downside risk index is 3.03 , which is lower, thus better than the value of 7.1 from the benchmark.

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.'

• Looking at the maximum DrawDown of -13.1 days in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (-36.7 days)
• Compared with DIA (-20.8 days) in the period of the last 3 years, the maximum reduction from previous high of -9.2 days is larger, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days under water 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.
• Compared with DIA (477 days) in the period of the last 3 years, the maximum days under water of 261 days is lower, thus better.

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.'

• Compared with the benchmark DIA (122 days) in the period of the last 5 years, the average time in days below previous high water mark of 48 days of US Market Strategy is smaller, thus better.
• During the last 3 years, the average days below previous high is 65 days, which is lower, thus better than the value of 170 days from the benchmark.