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 (65.1%) in the period of the last 5 years, the total return of 85.3% of World Top 4 Strategy is higher, thus better.
• Compared with ACWI (63.7%) in the period of the last 3 years, the total return of 57.9% is lower, thus worse.

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 compounded annual growth rate (CAGR) of 13.2% in the last 5 years of World Top 4 Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (10.6%)
• During the last 3 years, the annual performance (CAGR) is 16.6%, which is smaller, thus worse than the value of 18% 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.'

• The 30 days standard deviation over 5 years of World Top 4 Strategy is 8.6%, which is lower, thus better compared to the benchmark ACWI (16.2%) in the same period.
• Looking at historical 30 days volatility in of 9.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (14.6%).

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.'

• Looking at the downside volatility of 5.9% in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (11.1%)
• During the last 3 years, the downside risk is 6.8%, which is lower, thus better than the value of 9.8% 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.'

• Compared with the benchmark ACWI (0.5) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.24 of World Top 4 Strategy is higher, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 1.44 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (1.06).

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.'

• Looking at the downside risk / excess return profile of 1.82 in the last 5 years of World Top 4 Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (0.73)
• During the last 3 years, the excess return divided by the downside deviation is 2.08, which is greater, thus better than the value of 1.57 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.'

• The Downside risk index over 5 years of World Top 4 Strategy is 2.87 , which is smaller, thus better compared to the benchmark ACWI (8.91 ) in the same period.
• Compared with ACWI (3.24 ) in the period of the last 3 years, the Downside risk index of 2.67 is lower, 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.'

• The maximum drop from peak to valley over 5 years of World Top 4 Strategy is -9.6 days, which is greater, thus better compared to the benchmark ACWI (-26.4 days) in the same period.
• During the last 3 years, the maximum DrawDown is -9.6 days, which is greater, thus better than the value of -16.5 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) in days.'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum days under water of 247 days of World Top 4 Strategy is lower, thus better.
• Compared with ACWI (94 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 105 days is greater, thus worse.

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.'

• Looking at the average days under water of 48 days in the last 5 years of World Top 4 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (127 days)
• Looking at average days under water in of 28 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (17 days).