World Top 4 Strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark ACWI (91%) in the period of the last 5 years, the total return, or performance of 51.4% of World Top 4 Strategy is lower, thus worse.
• Looking at total return, or increase in value in of 17.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (39.6%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the compounded annual growth rate (CAGR) of 8.7% in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (13.8%)
• Looking at annual performance (CAGR) in of 5.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (11.8%).

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 8.2%, which is lower, thus better compared to the benchmark ACWI (18.1%) in the same period.
• Looking at 30 days standard deviation in of 9.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (21.5%).

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 6%, which is smaller, thus better compared to the benchmark ACWI (13.4%) in the same period.
• During the last 3 years, the downside deviation is 7.3%, which is lower, thus better than the value of 15.9% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of World Top 4 Strategy is 0.75, which is larger, thus better compared to the benchmark ACWI (0.63) in the same period.
• Compared with ACWI (0.43) in the period of the last 3 years, the Sharpe Ratio of 0.3 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark ACWI (0.84) in the period of the last 5 years, the excess return divided by the downside deviation of 1.03 of World Top 4 Strategy is greater, thus better.
• During the last 3 years, the downside risk / excess return profile is 0.4, which is smaller, thus worse than the value of 0.58 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.'

• Compared with the benchmark ACWI (6.28 ) in the period of the last 5 years, the Downside risk index of 2.38 of World Top 4 Strategy is smaller, thus better.
• Compared with ACWI (7.09 ) in the period of the last 3 years, the Downside risk index of 2.95 is smaller, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum DrawDown of -17.1 days of World Top 4 Strategy is higher, thus better.
• During the last 3 years, the maximum DrawDown is -17.1 days, which is larger, 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'

• Looking at the maximum days below previous high of 148 days in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (373 days)
• Looking at maximum days below previous high in of 100 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (138 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 (81 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.
• Looking at average days below previous high in of 30 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (37 days).