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.'

• Compared with the benchmark ACWI (79.3%) in the period of the last 5 years, the total return of 111.4% of World Top 4 Strategy is greater, thus better.
• Looking at total return in of 32.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (21%).

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.'

• The annual return (CAGR) over 5 years of World Top 4 Strategy is 16.2%, which is greater, thus better compared to the benchmark ACWI (12.4%) in the same period.
• Compared with ACWI (6.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 9.8% is greater, thus better.

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 30 days standard deviation over 5 years of World Top 4 Strategy is 7.9%, which is lower, thus better compared to the benchmark ACWI (16.9%) in the same period.
• During the last 3 years, the volatility is 7.6%, which is smaller, thus better than the value of 17.3% from the benchmark.

DownVol:

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

• Compared with the benchmark ACWI (11.8%) in the period of the last 5 years, the downside risk of 5.3% of World Top 4 Strategy is lower, thus better.
• Looking at downside risk in of 5.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (12%).

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.'

• The risk / return profile (Sharpe) over 5 years of World Top 4 Strategy is 1.74, which is higher, thus better compared to the benchmark ACWI (0.59) in the same period.
• Looking at Sharpe Ratio in of 0.96 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.24).

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 ACWI (0.84) in the period of the last 5 years, the downside risk / excess return profile of 2.61 of World Top 4 Strategy is larger, thus better.
• Looking at excess return divided by the downside deviation in of 1.42 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (0.34).

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.'

• The Downside risk index over 5 years of World Top 4 Strategy is 2.47 , which is smaller, thus better compared to the benchmark ACWI (8.88 ) in the same period.
• Compared with ACWI (6.89 ) in the period of the last 3 years, the Ulcer Index of 3.02 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.'

• Compared with the benchmark ACWI (-26.4 days) in the period of the last 5 years, the maximum DrawDown of -8.2 days of World Top 4 Strategy is larger, thus better.
• Looking at maximum DrawDown in of -8.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (-20.2 days).

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 ACWI (516 days) in the period of the last 5 years, the maximum days below previous high of 247 days of World Top 4 Strategy is smaller, thus better.
• 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 289 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.
• Looking at average time in days below previous high water mark in of 63 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (73 days).