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 89%, which is higher, thus better compared to the benchmark DIA (64.6%) in the same period.
• Compared with DIA (49.5%) in the period of the last 3 years, the total return, or increase in value of 69.1% is larger, thus better.

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.'

• The compounded annual growth rate (CAGR) over 5 years of US Market Strategy is 13.6%, which is higher, thus better compared to the benchmark DIA (10.5%) in the same period.
• Compared with DIA (14.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 19.2% is larger, thus better.

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 historical 30 days volatility over 5 years of US Market Strategy is 7.9%, which is lower, thus better compared to the benchmark DIA (14.6%) in the same period.
• During the last 3 years, the volatility is 8.3%, which is smaller, thus better than the value of 13.4% from the benchmark.

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.'

• The downside deviation over 5 years of US Market Strategy is 5.4%, which is smaller, thus better compared to the benchmark DIA (10.1%) in the same period.
• Looking at downside risk in of 5.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (9%).

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.'

• Looking at the Sharpe Ratio of 1.41 in the last 5 years of US Market Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (0.55)
• Compared with DIA (0.89) in the period of the last 3 years, the Sharpe Ratio of 2.01 is higher, 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 2.05 in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (0.79)
• During the last 3 years, the ratio of annual return and downside deviation is 2.94, which is larger, thus better than the value of 1.33 from the benchmark.

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 2.47 in the last 5 years of US Market Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (5.93 )
• During the last 3 years, the Ulcer Ratio is 1.38 , which is lower, thus better than the value of 3.35 from the benchmark.

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 drop from peak to valley of -9.2 days in the last 5 years of US Market Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (-20.8 days)
• 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 higher, 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.'

• Looking at the maximum days under water of 261 days in the last 5 years of US Market Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (477 days)
• 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 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 days under water of 47 days of US Market Strategy is lower, thus better.
• Compared with DIA (27 days) in the period of the last 3 years, the average days below previous high of 15 days is lower, thus better.