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.'

• Looking at the total return, or increase in value of 89.9% in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (48%)
• During the last 3 years, the total return, or increase in value is 58.7%, which is lower, thus worse than the value of 76.6% from the benchmark.

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 performance (CAGR) of 13.7% in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (8.2%)
• Compared with DIA (20.9%) in the period of the last 3 years, the annual performance (CAGR) of 16.6% is lower, thus worse.

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%, which is lower, thus better compared to the benchmark DIA (21.5%) in the same period.
• During the last 3 years, the volatility is 9%, which is lower, thus better than the value of 20.2% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 6.4% in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (15.5%)
• Looking at downside risk in of 5.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (13%).

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 (0.26) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.24 of US Market Strategy is greater, thus better.
• Compared with DIA (0.91) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.57 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.'

• Compared with the benchmark DIA (0.37) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.76 of US Market Strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 2.38, which is greater, thus better than the value of 1.41 from the benchmark.

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.'

• Compared with the benchmark DIA (7.78 ) in the period of the last 5 years, the Ulcer Ratio of 2.82 of US Market Strategy is lower, thus better.
• Looking at Ulcer Index in of 3.11 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (6.84 ).

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.'

• Compared with the benchmark DIA (-36.7 days) in the period of the last 5 years, the maximum DrawDown of -13.1 days of US Market Strategy is larger, thus better.
• Looking at maximum drop from peak to valley in of -9.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (-20.8 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). 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 below previous high over 5 years of US Market Strategy is 231 days, which is lower, thus better compared to the benchmark DIA (304 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 231 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (304 days).

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 (71 days) in the period of the last 5 years, the average days below previous high of 43 days of US Market Strategy is lower, thus better.
• Looking at average time in days below previous high water mark in of 57 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (76 days).