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 (92.5%) in the period of the last 5 years, the total return, or increase in value of 44.9% of World Top 4 Strategy is smaller, thus worse.
• During the last 3 years, the total return, or performance is 21.2%, which is lower, thus worse than the value of 46.4% 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.'

• Compared with the benchmark ACWI (14%) in the period of the last 5 years, the annual return (CAGR) of 7.7% of World Top 4 Strategy is lower, thus worse.
• Compared with ACWI (13.6%) in the period of the last 3 years, the annual performance (CAGR) of 6.6% is lower, thus worse.

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 (17.8%) in the period of the last 5 years, the volatility of 8.1% of World Top 4 Strategy is smaller, thus better.
• Compared with ACWI (21.5%) in the period of the last 3 years, the 30 days standard deviation of 9.9% is lower, thus better.

DownVol:

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

• Looking at the downside risk of 6% in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (13.2%)
• Compared with ACWI (16%) in the period of the last 3 years, the downside risk of 7.3% 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.'

• The Sharpe Ratio over 5 years of World Top 4 Strategy is 0.64, which is smaller, thus worse compared to the benchmark ACWI (0.65) in the same period.
• Compared with ACWI (0.51) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.42 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.'

• The ratio of annual return and downside deviation over 5 years of World Top 4 Strategy is 0.88, which is greater, thus better compared to the benchmark ACWI (0.88) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.57 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (0.69).

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.'

• Compared with the benchmark ACWI (6.26 ) in the period of the last 5 years, the Ulcer Ratio of 2.37 of World Top 4 Strategy is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 2.92 , which is smaller, thus better than the value of 7.04 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.'

• The maximum reduction from previous high over 5 years of World Top 4 Strategy is -17.1 days, which is larger, thus better compared to the benchmark ACWI (-33.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -17.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (-33.5 days).

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.'

• The maximum days below previous high over 5 years of World Top 4 Strategy is 148 days, which is lower, thus better compared to the benchmark ACWI (373 days) in the same period.
• Compared with ACWI (133 days) in the period of the last 3 years, the maximum days below previous high of 100 days is lower, thus better.

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 days under water over 5 years of World Top 4 Strategy is 32 days, which is lower, thus better compared to the benchmark ACWI (81 days) in the same period.
• During the last 3 years, the average days below previous high is 29 days, which is smaller, thus better than the value of 35 days from the benchmark.