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 (98%) in the period of the last 5 years, the total return, or increase in value of 82.5% of Global Market Rotation Strategy is lower, thus worse.
• Compared with ACWI (45.3%) in the period of the last 3 years, the total return, or performance of 27.5% is lower, thus worse.

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 (14.7%) in the period of the last 5 years, the annual return (CAGR) of 12.8% of Global Market Rotation Strategy is smaller, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 8.5%, which is smaller, thus worse than the value of 13.4% from the benchmark.

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 (16.7%) 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 30 days standard deviation is 8.7%, which is smaller, thus better than the value of 16.9% from the benchmark.

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.'

• Compared with the benchmark ACWI (11.6%) in the period of the last 5 years, the downside volatility of 6.4% of Global Market Rotation Strategy is lower, thus better.
• Looking at downside deviation in of 6.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (11.4%).

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 risk / return profile (Sharpe) over 5 years of Global Market Rotation Strategy is 1.13, which is larger, thus better compared to the benchmark ACWI (0.73) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.69, which is greater, thus better than the value of 0.64 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.'

• Looking at the downside risk / excess return profile of 1.62 in the last 5 years of Global Market Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (1.05)
• Looking at downside risk / excess return profile in of 0.98 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (0.95).

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.'

• The Ulcer Ratio over 5 years of Global Market Rotation Strategy is 3.08 , which is lower, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• During the last 3 years, the Downside risk index is 2.6 , which is smaller, thus better than the value of 5.01 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.'

• 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 larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -8 days, which is higher, thus better than the value of -16.5 days from the benchmark.

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 days below previous high 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 time in days below previous high water mark 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.'

• 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 29 days, which is higher, thus worse than the value of 29 days from the benchmark.