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.'

• The total return over 5 years of US Market Strategy is 87.8%, which is higher, thus better compared to the benchmark DIA (68%) in the same period.
• Compared with DIA (57.8%) in the period of the last 3 years, the total return, or increase in value of 71.7% is greater, thus better.

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.'

• Compared with the benchmark DIA (11%) in the period of the last 5 years, the annual return (CAGR) of 13.5% of US Market Strategy is greater, thus better.
• Looking at compounded annual growth rate (CAGR) in of 19.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (16.5%).

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.'

• Compared with the benchmark DIA (14.7%) in the period of the last 5 years, the volatility of 7.9% of US Market Strategy is lower, thus better.
• Looking at 30 days standard deviation in of 8.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (13.3%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside deviation of 5.5% 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 5.6%, which is lower, thus better than the value of 8.9% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark DIA (0.58) in the period of the last 5 years, the Sharpe Ratio of 1.38 of US Market Strategy is greater, thus better.
• During the last 3 years, the Sharpe Ratio is 2.1, which is larger, thus better than the value of 1.05 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.'

• Compared with the benchmark DIA (0.84) in the period of the last 5 years, the excess return divided by the downside deviation of 2.01 of US Market Strategy is larger, thus better.
• Looking at excess return divided by the downside deviation in of 3.09 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (1.58).

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.'

• Compared with the benchmark DIA (5.93 ) in the period of the last 5 years, the Ulcer Ratio of 2.47 of US Market Strategy is lower, thus better.
• Compared with DIA (3.34 ) in the period of the last 3 years, the Ulcer Ratio of 1.38 is lower, thus better.

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.'

• The maximum DrawDown over 5 years of US Market Strategy is -9.2 days, which is greater, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -6.8 days, which is higher, thus better than the value of -16 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 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)
• During the last 3 years, the maximum days below previous high is 77 days, which is lower, thus better than the value of 142 days from the benchmark.

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.'

• The average days under water over 5 years of US Market Strategy is 47 days, which is lower, thus better compared to the benchmark DIA (115 days) in the same period.
• Compared with DIA (27 days) in the period of the last 3 years, the average days below previous high of 15 days is smaller, thus better.