Global Sector Rotation Strategy

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.'

• The total return, or increase in value over 5 years of Global Sector Rotation Strategy is 46.1%, which is lower, thus worse compared to the benchmark ACWI (76.8%) in the same period.
• Compared with ACWI (52.5%) in the period of the last 3 years, the total return of 23.4% is smaller, thus worse.

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.'

• The annual performance (CAGR) over 5 years of Global Sector Rotation Strategy is 7.9%, which is smaller, thus worse compared to the benchmark ACWI (12.1%) in the same period.
• Compared with ACWI (15.1%) in the period of the last 3 years, the annual return (CAGR) of 7.3% is smaller, thus worse.

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.'

• The historical 30 days volatility over 5 years of Global Sector Rotation Strategy is 9.2%, which is lower, thus better compared to the benchmark ACWI (18%) in the same period.
• Compared with ACWI (21%) in the period of the last 3 years, the volatility of 10.8% is lower, thus better.

DownVol:

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

• Compared with the benchmark ACWI (13.3%) in the period of the last 5 years, the downside volatility of 6.9% of Global Sector Rotation Strategy is smaller, thus better.
• During the last 3 years, the downside deviation is 8.2%, which is lower, thus better than the value of 15.6% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark ACWI (0.53) in the period of the last 5 years, the Sharpe Ratio of 0.59 of Global Sector Rotation Strategy is greater, thus better.
• Compared with ACWI (0.6) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.44 is lower, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of Global Sector Rotation Strategy is 0.78, which is greater, thus better compared to the benchmark ACWI (0.72) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.58, which is lower, thus worse than the value of 0.81 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.'

• Compared with the benchmark ACWI (6.29 ) in the period of the last 5 years, the Ulcer Index of 4.38 of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (6.4 ) in the period of the last 3 years, the Ulcer Index of 5.49 is lower, thus better.

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.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum DrawDown of -23.8 days of Global Sector Rotation Strategy is larger, thus better.
• Looking at maximum drop from peak to valley in of -23.8 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.'

• Compared with the benchmark ACWI (373 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 218 days of Global Sector Rotation Strategy is smaller, thus better.
• Looking at maximum time in days below previous high water mark in of 218 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (133 days).

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.'

• Looking at the average time in days below previous high water mark of 45 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (80 days)
• Looking at average days below previous high in of 53 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (25 days).