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.'

• Looking at the total return, or performance of 85.6% in the last 5 years of Global Market Rotation Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark ACWI (99%)
• Compared with ACWI (45.2%) in the period of the last 3 years, the total return, or increase in value of 28.3% is smaller, thus worse.

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.'

• The annual performance (CAGR) over 5 years of Global Market Rotation Strategy is 13.2%, which is lower, thus worse compared to the benchmark ACWI (14.8%) in the same period.
• Compared with ACWI (13.3%) in the period of the last 3 years, the annual performance (CAGR) of 8.7% is lower, thus worse.

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.'

• Looking at the volatility of 9.2% in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (16.8%)
• Looking at volatility in of 8.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (16.9%).

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 6.4%, which is smaller, thus better compared to the benchmark ACWI (11.6%) in the same period.
• Compared with ACWI (11.4%) in the period of the last 3 years, the downside deviation of 6.1% is smaller, thus better.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 1.17 in the last 5 years of Global Market Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (0.73)
• During the last 3 years, the risk / return profile (Sharpe) is 0.72, which is higher, thus better than the value of 0.64 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 (1.06) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.68 of Global Market Rotation Strategy is greater, thus better.
• Looking at excess return divided by the downside deviation in of 1.02 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (0.95).

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 (8.9 ) in the period of the last 5 years, the Downside risk index of 3.08 of Global Market Rotation Strategy is lower, thus better.
• During the last 3 years, the Ulcer Index is 2.6 , which is smaller, thus better than the value of 5.02 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum DrawDown over 5 years of Global Market Rotation Strategy is -10.4 days, which is larger, thus better compared to the benchmark ACWI (-26.4 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -8 days, which is larger, 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 281 days of Global Market Rotation Strategy is lower, thus better.
• Compared with ACWI (115 days) in the period of the last 3 years, the maximum days below previous high of 111 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 time in days below previous high water mark over 5 years of Global Market Rotation Strategy is 55 days, which is lower, thus better compared to the benchmark ACWI (129 days) in the same period.
• Looking at average days below previous high in of 29 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (29 days).