Description

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 (YTD)

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

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of GMRS unhedged is 128.2%, which is higher, thus better compared to the benchmark ACWI (30.2%) in the same period.
  • Looking at total return, or increase in value in of 49.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (16.8%).

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.'

Which means for our asset as example:
  • Compared with the benchmark ACWI (5.4%) in the period of the last 5 years, the annual performance (CAGR) of 17.9% of GMRS unhedged is larger, thus better.
  • During the last 3 years, the annual return (CAGR) is 14.4%, which is higher, thus better than the value of 5.3% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark ACWI (18.3%) in the period of the last 5 years, the historical 30 days volatility of 18.1% of GMRS unhedged is lower, thus better.
  • Looking at volatility in of 20.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (20.4%).

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 13.1% in the last 5 years of GMRS unhedged, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (13.6%)
  • Looking at downside risk in of 15.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (15.3%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (0.16) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.85 of GMRS unhedged is larger, thus better.
  • During the last 3 years, the Sharpe Ratio is 0.58, which is greater, thus better than the value of 0.14 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Using this definition on our asset we see for example:
  • The ratio of annual return and downside deviation over 5 years of GMRS unhedged is 1.18, which is larger, thus better compared to the benchmark ACWI (0.21) in the same period.
  • Looking at ratio of annual return and downside deviation in of 0.78 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.18).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (7.32 ) in the period of the last 5 years, the Ulcer Index of 4.85 of GMRS unhedged is lower, thus better.
  • During the last 3 years, the Ulcer Index is 5.63 , which is lower, thus better than the value of 7.74 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -31.1 days of GMRS unhedged is higher, thus better.
  • Looking at maximum reduction from previous high in of -31.1 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (-33.5 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of GMRS unhedged is 107 days, which is lower, thus better compared to the benchmark ACWI (389 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 88 days, which is smaller, thus better than the value of 373 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 (134 days) in the period of the last 5 years, the average days under water of 21 days of GMRS unhedged is lower, thus better.
  • During the last 3 years, the average time in days below previous high water mark is 21 days, which is lower, thus better than the value of 114 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal 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.