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:

'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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (97.1%) in the period of the last 5 years, the total return of 155.3% of GMRS Unhedged Sub-strategy is greater, thus better.
  • During the last 3 years, the total return, or increase in value is 64.6%, which is higher, thus better than the value of 57.2% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The compounded annual growth rate (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 20.6%, which is larger, thus better compared to the benchmark ACWI (14.5%) in the same period.
  • Looking at annual return (CAGR) in of 18.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (16.3%).

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:
  • Looking at the 30 days standard deviation of 18.3% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark ACWI (17.8%)
  • Compared with ACWI (21.5%) in the period of the last 3 years, the volatility of 21.5% is greater, thus worse.

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:
  • Compared with the benchmark ACWI (13.2%) in the period of the last 5 years, the downside deviation of 13.5% of GMRS Unhedged Sub-strategy is larger, thus worse.
  • Compared with ACWI (15.9%) in the period of the last 3 years, the downside risk of 16.1% is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.99 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.67)
  • Compared with ACWI (0.64) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.72 is higher, 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 downside risk / excess return profile over 5 years of GMRS Unhedged Sub-strategy is 1.34, which is larger, thus better compared to the benchmark ACWI (0.91) in the same period.
  • Looking at ratio of annual return and downside deviation in of 0.97 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (0.87).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (6.26 ) in the period of the last 5 years, the Downside risk index of 4.86 of GMRS Unhedged Sub-strategy is lower, thus better.
  • During the last 3 years, the Downside risk index is 5.98 , which is lower, thus better than the value of 6.6 from the benchmark.

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:
  • The maximum drop from peak to valley over 5 years of GMRS Unhedged Sub-strategy is -31.1 days, which is greater, thus better compared to the benchmark ACWI (-33.5 days) in the same period.
  • Looking at maximum DrawDown in of -31.1 days in the period of the last 3 years, we see it is relatively larger, 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) in days.'

Which means for our asset as example:
  • Compared with the benchmark ACWI (373 days) in the period of the last 5 years, the maximum days under water of 98 days of GMRS Unhedged Sub-strategy is smaller, thus better.
  • Compared with ACWI (133 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 98 days is lower, thus better.

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 under water over 5 years of GMRS Unhedged Sub-strategy is 19 days, which is lower, thus better compared to the benchmark ACWI (80 days) in the same period.
  • Compared with ACWI (27 days) in the period of the last 3 years, the average time in days below previous high water mark of 21 days is lower, thus better.

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 Sub-strategy 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.