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 (67.6%) in the period of the last 5 years, the total return, or increase in value of 54.1% of Global Market Rotation Strategy is lower, thus worse.
• During the last 3 years, the total return, or performance is 43.6%, which is smaller, thus worse than the value of 80.3% from the benchmark.

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 9.1%, which is smaller, thus worse compared to the benchmark ACWI (10.9%) in the same period.
• Looking at annual performance (CAGR) in of 12.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (21.8%).

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.'

• Compared with the benchmark ACWI (16.2%) in the period of the last 5 years, the historical 30 days volatility of 9.5% of Global Market Rotation Strategy is lower, thus better.
• Compared with ACWI (14.5%) in the period of the last 3 years, the historical 30 days volatility of 10.1% is lower, thus better.

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.'

• The downside risk over 5 years of Global Market Rotation Strategy is 6.7%, which is lower, thus better compared to the benchmark ACWI (11.1%) in the same period.
• During the last 3 years, the downside deviation is 7.2%, which is smaller, thus better than the value of 9.7% from the benchmark.

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.'

• Compared with the benchmark ACWI (0.52) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.69 of Global Market Rotation Strategy is higher, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.02, which is lower, thus worse than the value of 1.33 from the benchmark.

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.'

• Compared with the benchmark ACWI (0.76) in the period of the last 5 years, the downside risk / excess return profile of 0.98 of Global Market Rotation Strategy is greater, thus better.
• Compared with ACWI (1.99) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.45 is lower, thus worse.

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 (8.9 ) in the period of the last 5 years, the Downside risk index of 3.26 of Global Market Rotation Strategy is lower, thus better.
• Looking at Ulcer Index in of 2.29 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (2.71 ).

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.'

• Compared with the benchmark ACWI (-26.4 days) in the period of the last 5 years, the maximum drop from peak to valley of -10.4 days of Global Market Rotation Strategy is higher, thus better.
• During the last 3 years, the maximum reduction from previous high is -7.6 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.'

• Looking at the maximum days below previous high of 281 days in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (516 days)
• Looking at maximum time in days below previous high water mark in of 94 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (62 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 under water of 57 days in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (127 days)
• Compared with ACWI (12 days) in the period of the last 3 years, the average days below previous high of 23 days is greater, thus worse.