Description of GMRS unhedged

This is the unhedged version of our Global Market Rotation Strategy, together with the Hedge strategy it blends the hedged Global Market Rotation Strategy

Statistics of GMRS unhedged (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Looking at the total return, or performance of 114.1% in the last 5 years of GMRS unhedged, we see it is relatively higher, thus better in comparison to the benchmark ACWI (42.4%)
  • During the last 3 years, the total return is 77.6%, which is greater, thus better than the value of 38.6% 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.'

Which means for our asset as example:
  • Looking at the annual performance (CAGR) of 16.5% in the last 5 years of GMRS unhedged, we see it is relatively greater, thus better in comparison to the benchmark ACWI (7.3%)
  • Compared with ACWI (11.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 21.1% is larger, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of GMRS unhedged is 12.9%, which is lower, thus better compared to the benchmark ACWI (13.2%) in the same period.
  • Compared with ACWI (12.3%) in the period of the last 3 years, the historical 30 days volatility of 12.1% is smaller, 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.'

Which means for our asset as example:
  • The downside volatility over 5 years of GMRS unhedged is 14.1%, which is lower, thus better compared to the benchmark ACWI (14.5%) in the same period.
  • Compared with ACWI (13.9%) in the period of the last 3 years, the downside volatility of 13.3% is lower, 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.'

Using this definition on our asset we see for example:
  • The Sharpe Ratio over 5 years of GMRS unhedged is 1.08, which is larger, thus better compared to the benchmark ACWI (0.36) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of 1.54 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (0.73).

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.'

Using this definition on our asset we see for example:
  • The excess return divided by the downside deviation over 5 years of GMRS unhedged is 0.99, which is higher, thus better compared to the benchmark ACWI (0.33) in the same period.
  • Compared with ACWI (0.65) in the period of the last 3 years, the excess return divided by the downside deviation of 1.39 is greater, thus better.

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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 3.16 in the last 5 years of GMRS unhedged, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (6.14 )
  • Looking at Ulcer Ratio in of 2.56 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (5 ).

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -16 days in the last 5 years of GMRS unhedged, we see it is relatively greater, thus better in comparison to the benchmark ACWI (-19.5 days)
  • Compared with ACWI (-19.5 days) in the period of the last 3 years, the maximum reduction from previous high of -12 days is greater, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark ACWI (408 days) in the period of the last 5 years, the maximum days under water of 132 days of GMRS unhedged is lower, thus better.
  • During the last 3 years, the maximum days below previous high is 123 days, which is smaller, thus better than the value of 288 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark ACWI (119 days) in the period of the last 5 years, the average days below previous high of 29 days of GMRS unhedged is lower, thus better.
  • Compared with ACWI (72 days) in the period of the last 3 years, the average days below previous high of 26 days is smaller, thus better.

Performance of GMRS unhedged (YTD)

Historical returns have been extended using synthetic data.

Allocations of GMRS unhedged
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Allocations

Returns of GMRS unhedged (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of GMRS unhedged are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.