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 (76.7%) in the period of the last 5 years, the total return of 99% of World Top 4 Strategy is higher, thus better.
• Compared with ACWI (60.2%) in the period of the last 3 years, the total return of 52.6% is smaller, thus worse.

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.'

• The annual return (CAGR) over 5 years of World Top 4 Strategy is 14.8%, which is greater, thus better compared to the benchmark ACWI (12.1%) in the same period.
• Looking at annual return (CAGR) in of 15.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (17.1%).

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 (16.3%) in the period of the last 5 years, the volatility of 8% of World Top 4 Strategy is lower, thus better.
• Looking at 30 days standard deviation in of 7.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (15.7%).

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.'

• Compared with the benchmark ACWI (11.2%) in the period of the last 5 years, the downside deviation of 5.3% of World Top 4 Strategy is lower, thus better.
• Looking at downside deviation in of 5.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (10.4%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the risk / return profile (Sharpe) of 1.53 in the last 5 years of World Top 4 Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.59)
• During the last 3 years, the Sharpe Ratio is 1.64, which is greater, thus better than the value of 0.93 from the benchmark.

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 (0.86) in the period of the last 5 years, the ratio of annual return and downside deviation of 2.33 of World Top 4 Strategy is larger, thus better.
• Compared with ACWI (1.41) in the period of the last 3 years, the downside risk / excess return profile of 2.49 is larger, thus better.

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.'

• Looking at the Ulcer Ratio of 2.46 in the last 5 years of World Top 4 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (8.9 )
• During the last 3 years, the Downside risk index is 1.8 , which is lower, thus better than the value of 3.88 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark ACWI (-26.4 days) in the period of the last 5 years, the maximum reduction from previous high of -8.2 days of World Top 4 Strategy is higher, thus better.
• During the last 3 years, the maximum DrawDown is -6.4 days, which is higher, 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). 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 smaller, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum days below previous high in of 102 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (94 days).

AveDuration:

'The Average 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. 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 below previous high of 44 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 (128 days)
• Compared with ACWI (21 days) in the period of the last 3 years, the average days below previous high of 23 days is larger, thus worse.