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:
  • Compared with the benchmark ACWI (37.8%) in the period of the last 5 years, the total return, or increase in value of 106.2% of GMRS unhedged is higher, thus better.
  • Compared with ACWI (37.1%) in the period of the last 3 years, the total return, or performance of 56% is larger, thus better.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of GMRS unhedged is 15.6%, which is greater, thus better compared to the benchmark ACWI (6.6%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 16%, which is larger, thus better than the value of 11.1% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark ACWI (13.6%) in the period of the last 5 years, the 30 days standard deviation of 13.3% of GMRS unhedged is smaller, thus better.
  • Compared with ACWI (12%) in the period of the last 3 years, the volatility of 12.4% is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk of 14.6% in the last 5 years of GMRS unhedged, we see it is relatively lower, thus better in comparison to the benchmark ACWI (14.9%)
  • During the last 3 years, the downside risk is 14%, which is greater, thus worse than the value of 13.7% 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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of GMRS unhedged is 0.99, which is greater, thus better compared to the benchmark ACWI (0.3) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 1.09, which is larger, thus better than the value of 0.72 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.'

Which means for our asset as example:
  • Compared with the benchmark ACWI (0.28) in the period of the last 5 years, the downside risk / excess return profile of 0.89 of GMRS unhedged is higher, thus better.
  • Compared with ACWI (0.63) in the period of the last 3 years, the excess return divided by the downside deviation of 0.96 is higher, 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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Ratio of 3.27 in the last 5 years of GMRS unhedged, we see it is relatively lower, thus better in comparison to the benchmark ACWI (6.21 )
  • Looking at Ulcer Index in of 2.83 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (5.16 ).

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:
  • Compared with the benchmark ACWI (-19.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -16 days of GMRS unhedged is higher, thus better.
  • Compared with ACWI (-19.5 days) in the period of the last 3 years, the maximum reduction from previous high of -12 days is larger, 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:
  • The maximum time in days below previous high water mark over 5 years of GMRS unhedged is 132 days, which is smaller, thus better compared to the benchmark ACWI (407 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 123 days, which is smaller, thus better than the value of 373 days from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the average days under water of 29 days in the last 5 years of GMRS unhedged, we see it is relatively lower, thus better in comparison to the benchmark ACWI (137 days)
  • Compared with ACWI (112 days) in the period of the last 3 years, the average days below previous high of 28 days is smaller, thus better.

Performance of GMRS unhedged (YTD)

Historical returns have been extended using synthetic data.

Allocations of GMRS unhedged
()

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.