World Top 4 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, or performance over 5 years of World Top 4 Strategy is 101.5%, which is higher, thus better compared to the benchmark ACWI (80.5%) in the same period.
• Looking at total return, or performance in of 30% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (36.7%).

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.'

• Looking at the annual performance (CAGR) of 15.1% in the last 5 years of World Top 4 Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (12.6%)
• Looking at annual return (CAGR) in of 9.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (11%).

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.'

• Looking at the volatility of 8.2% in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (19.7%)
• During the last 3 years, the 30 days standard deviation is 6.8%, which is lower, thus better than the value of 16.1% from the benchmark.

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.'

• The downside risk over 5 years of World Top 4 Strategy is 5.8%, which is smaller, thus better compared to the benchmark ACWI (14.2%) in the same period.
• Compared with ACWI (11.1%) in the period of the last 3 years, the downside volatility of 4.7% is smaller, 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.'

• Compared with the benchmark ACWI (0.51) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.53 of World Top 4 Strategy is greater, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 0.98 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.53).

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 ACWI (0.71) in the period of the last 5 years, the ratio of annual return and downside deviation of 2.18 of World Top 4 Strategy is higher, thus better.
• Looking at downside risk / excess return profile in of 1.43 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (0.77).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark ACWI (9.1 ) in the period of the last 5 years, the Downside risk index of 2.65 of World Top 4 Strategy is lower, thus better.
• Looking at Ulcer Ratio in of 3 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (8.61 ).

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.'

• Compared with the benchmark ACWI (-26.4 days) in the period of the last 5 years, the maximum reduction from previous high of -13.2 days of World Top 4 Strategy is greater, thus better.
• Compared with ACWI (-23.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -8.2 days is higher, 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 time in days below previous high water mark over 5 years of World Top 4 Strategy is 247 days, which is lower, thus better compared to the benchmark ACWI (516 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 247 days, which is smaller, thus better than the value of 334 days from the benchmark.

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 time in days below previous high water mark over 5 years of World Top 4 Strategy is 46 days, which is lower, thus better compared to the benchmark ACWI (128 days) in the same period.
• During the last 3 years, the average days below previous high is 63 days, which is smaller, thus better than the value of 92 days from the benchmark.