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.'

• Compared with the benchmark DIA (73.9%) in the period of the last 5 years, the total return, or increase in value of 81.1% of US Market Strategy is greater, thus better.
• Compared with DIA (55.5%) in the period of the last 3 years, the total return of 62.3% is larger, thus better.

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.'

• Looking at the annual return (CAGR) of 12.7% in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (11.7%)
• During the last 3 years, the annual return (CAGR) is 17.6%, which is higher, thus better than the value of 15.9% 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 volatility over 5 years of US Market Strategy is 7.8%, which is lower, thus better compared to the benchmark DIA (14.7%) in the same period.
• Compared with DIA (13.3%) in the period of the last 3 years, the volatility of 8.1% is lower, thus better.

DownVol:

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

• The downside deviation over 5 years of US Market Strategy is 5.4%, which is lower, thus better compared to the benchmark DIA (10.1%) in the same period.
• Compared with DIA (8.9%) in the period of the last 3 years, the downside volatility of 5.5% is lower, thus better.

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 (0.63) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.3 of US Market Strategy is higher, thus better.
• Compared with DIA (1.01) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.85 is larger, 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.'

• Compared with the benchmark DIA (0.92) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.9 of US Market Strategy is greater, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 2.75, which is larger, thus better than the value of 1.51 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.'

• The Downside risk index over 5 years of US Market Strategy is 2.48 , which is lower, thus better compared to the benchmark DIA (5.93 ) in the same period.
• During the last 3 years, the Ulcer Index is 1.47 , which is lower, thus better than the value of 3.43 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 -9.2 days in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (-20.8 days)
• During the last 3 years, the maximum reduction from previous high is -6.8 days, which is larger, 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.'

• 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 lower, thus better.
• Compared with DIA (142 days) in the period of the last 3 years, the maximum days below previous high of 77 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.'

• 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 (116 days) in the same period.
• Looking at average days below previous high in of 16 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (33 days).