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 125.1%, which is greater, thus better compared to the benchmark ACWI (38.5%) in the same period.
  • During the last 3 years, the total return, or performance is 56.8%, which is greater, thus better than the value of 29.2% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 17.6% in the last 5 years of GMRS unhedged, we see it is relatively greater, thus better in comparison to the benchmark ACWI (6.7%)
  • Looking at annual performance (CAGR) in of 16.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (8.9%).

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:
  • Compared with the benchmark ACWI (13.4%) in the period of the last 5 years, the volatility of 13.3% of GMRS unhedged is lower, thus better.
  • Looking at volatility in of 12.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (12.4%).

DownVol:

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

Which means for our asset as example:
  • The downside deviation over 5 years of GMRS unhedged is 9.4%, which is smaller, thus better compared to the benchmark ACWI (9.9%) in the same period.
  • Looking at downside risk in of 9.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (9.2%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (0.32) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.14 of GMRS unhedged is greater, thus better.
  • Compared with ACWI (0.52) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.09 is larger, thus better.

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.'

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 1.62, which is greater, thus better compared to the benchmark ACWI (0.43) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 1.49, which is larger, thus better than the value of 0.7 from the benchmark.

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 3.17 in the last 5 years of GMRS unhedged, we see it is relatively lower, thus better in comparison to the benchmark ACWI (6.15 )
  • Compared with ACWI (5.17 ) in the period of the last 3 years, the Ulcer Index of 2.69 is smaller, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark ACWI (-19.5 days) in the period of the last 5 years, the maximum DrawDown of -16 days of GMRS unhedged is higher, thus better.
  • During the last 3 years, the maximum reduction from previous high is -11.8 days, which is greater, thus better than the value of -19.5 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). 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'

Which means for our asset as example:
  • Looking at the maximum days below previous high of 132 days in the last 5 years of GMRS unhedged, we see it is relatively lower, thus better in comparison to the benchmark ACWI (408 days)
  • Looking at maximum time in days below previous high water mark in of 88 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (373 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.'

Applying this definition to our asset in some examples:
  • The average days below previous high over 5 years of GMRS unhedged is 22 days, which is lower, thus better compared to the benchmark ACWI (140 days) in the same period.
  • Looking at average days below previous high in of 18 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (113 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
()

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.