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 is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Using this definition on our asset we see for example:
  • The total return, or increase in value over 5 years of GMRS Unhedged Sub-strategy is 163.3%, which is larger, thus better compared to the benchmark ACWI (41.5%) in the same period.
  • Compared with ACWI (21.9%) in the period of the last 3 years, the total return of 65.4% is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • The annual performance (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 21.4%, which is greater, thus better compared to the benchmark ACWI (7.2%) in the same period.
  • Compared with ACWI (6.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 18.3% 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:
  • Looking at the volatility of 18.3% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (18.5%)
  • Looking at 30 days standard deviation in of 21.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (20.9%).

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 13.3% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (13.8%)
  • During the last 3 years, the downside deviation is 15.7%, which is larger, thus worse than the value of 15.7% from the benchmark.

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.'

Which means for our asset as example:
  • The ratio of return and volatility (Sharpe) over 5 years of GMRS Unhedged Sub-strategy is 1.03, which is greater, thus better compared to the benchmark ACWI (0.25) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.75, which is larger, thus better than the value of 0.21 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (0.34) in the period of the last 5 years, the downside risk / excess return profile of 1.42 of GMRS Unhedged Sub-strategy is greater, thus better.
  • During the last 3 years, the ratio of annual return and downside deviation is 1.01, which is higher, thus better than the value of 0.28 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 4.83 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (7.17 )
  • During the last 3 years, the Ulcer Ratio is 5.67 , which is lower, thus better than the value of 7.93 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum DrawDown of -31.2 days of GMRS Unhedged Sub-strategy is greater, thus better.
  • Looking at maximum reduction from previous high in of -31.2 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) in days.'

Which means for our asset as example:
  • The maximum time in days below previous high water mark over 5 years of GMRS Unhedged Sub-strategy is 88 days, which is lower, thus better compared to the benchmark ACWI (373 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 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (105 days) in the period of the last 5 years, the average days below previous high of 19 days of GMRS Unhedged Sub-strategy is smaller, thus better.
  • Compared with ACWI (117 days) in the period of the last 3 years, the average days under water of 22 days is smaller, thus better.

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 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.