Global Market Rotation Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark ACWI (81.3%) in the period of the last 5 years, the total return, or performance of 85.8% of Global Market Rotation Strategy is greater, thus better.
• Looking at total return, or performance in of 29.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (43.6%).

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.'

• Compared with the benchmark ACWI (12.7%) in the period of the last 5 years, the annual performance (CAGR) of 13.2% of Global Market Rotation Strategy is higher, thus better.
• Looking at compounded annual growth rate (CAGR) in of 9.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (12.9%).

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 (16.6%) in the period of the last 5 years, the volatility of 9.2% of Global Market Rotation Strategy is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 8.7%, which is lower, thus better than the value of 16.6% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of Global Market Rotation Strategy is 6.3%, which is smaller, thus better compared to the benchmark ACWI (11.6%) in the same period.
• Looking at downside deviation in of 6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (11.2%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The Sharpe Ratio over 5 years of Global Market Rotation Strategy is 1.17, which is higher, thus better compared to the benchmark ACWI (0.61) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.76, which is greater, thus better than the value of 0.63 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.'

• The ratio of annual return and downside deviation over 5 years of Global Market Rotation Strategy is 1.69, which is larger, thus better compared to the benchmark ACWI (0.88) in the same period.
• Compared with ACWI (0.93) in the period of the last 3 years, the excess return divided by the downside deviation of 1.09 is greater, thus better.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Ratio of 3.08 in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (8.9 )
• Compared with ACWI (4.97 ) in the period of the last 3 years, the Downside risk index of 2.57 is smaller, thus better.

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 -10.4 days of Global Market Rotation Strategy is larger, thus better.
• Compared with ACWI (-16.5 days) in the period of the last 3 years, the maximum reduction from previous high of -8 days is higher, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum time in days below previous high water mark over 5 years of Global Market Rotation Strategy is 281 days, which is lower, thus better compared to the benchmark ACWI (516 days) in the same period.
• Compared with ACWI (115 days) in the period of the last 3 years, the maximum days under water of 111 days is smaller, 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.'

• Compared with the benchmark ACWI (128 days) in the period of the last 5 years, the average days below previous high of 55 days of Global Market Rotation Strategy is lower, thus better.
• During the last 3 years, the average days under water is 28 days, which is lower, thus better than the value of 29 days from the benchmark.