World Top 4 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.'

• Compared with the benchmark ACWI (49.8%) in the period of the last 5 years, the total return, or performance of 36% of World Top 4 Strategy is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 15.4%, which is lower, thus worse than the value of 29.8% 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.'

• The compounded annual growth rate (CAGR) over 5 years of World Top 4 Strategy is 6.3%, which is lower, thus worse compared to the benchmark ACWI (8.4%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 4.9%, which is lower, thus worse than the value of 9.1% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark ACWI (18.9%) in the period of the last 5 years, the historical 30 days volatility of 8.3% of World Top 4 Strategy is lower, thus better.
• Compared with ACWI (22%) in the period of the last 3 years, the historical 30 days volatility of 10% is lower, thus better.

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.'

• Looking at the downside deviation of 6.1% in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (14%)
• Compared with ACWI (16.3%) in the period of the last 3 years, the downside risk of 7.5% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.46 in the last 5 years of World Top 4 Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.31)
• Compared with ACWI (0.3) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.24 is lower, thus worse.

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 (0.42) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.63 of World Top 4 Strategy is larger, thus better.
• Compared with ACWI (0.4) in the period of the last 3 years, the downside risk / excess return profile of 0.32 is smaller, thus worse.

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.'

• Compared with the benchmark ACWI (6.73 ) in the period of the last 5 years, the Downside risk index of 2.42 of World Top 4 Strategy is lower, thus better.
• Compared with ACWI (7.08 ) in the period of the last 3 years, the Ulcer Index of 2.92 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.'

• The maximum drop from peak to valley over 5 years of World Top 4 Strategy is -17.1 days, which is higher, thus better compared to the benchmark ACWI (-33.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -17.1 days, which is greater, thus better than the value of -33.5 days from the benchmark.

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'

• Compared with the benchmark ACWI (373 days) in the period of the last 5 years, the maximum days below previous high of 148 days of World Top 4 Strategy is lower, thus better.
• Looking at maximum days under water in of 100 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (133 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 ACWI (82 days) in the period of the last 5 years, the average time in days below previous high water mark of 32 days of World Top 4 Strategy is lower, thus better.
• Compared with ACWI (30 days) in the period of the last 3 years, the average time in days below previous high water mark of 26 days is lower, thus better.