Global Sector Rotation Strategy

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.'

• Looking at the total return, or performance of 64.9% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (44.3%)
• Compared with ACWI (40.8%) in the period of the last 3 years, the total return, or performance of 29.8% is smaller, thus worse.

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.'

• Compared with the benchmark ACWI (7.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 10.5% of Global Sector Rotation Strategy is greater, thus better.
• Looking at annual performance (CAGR) in of 9.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (12.1%).

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.'

• Looking at the historical 30 days volatility of 7.1% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (13.5%)
• Looking at historical 30 days volatility in of 6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (12%).

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.'

• The downside risk over 5 years of Global Sector Rotation Strategy is 7.4%, which is lower, thus better compared to the benchmark ACWI (14.9%) in the same period.
• Looking at downside volatility in of 6.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (13.8%).

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 (0.38) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.14 of Global Sector Rotation Strategy is higher, thus better.
• Compared with ACWI (0.81) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.1 is greater, thus better.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the ratio of annual return and downside deviation of 1.09 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.34)
• Compared with ACWI (0.7) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.01 is larger, 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.'

• Compared with the benchmark ACWI (6.17 ) in the period of the last 5 years, the Ulcer Index of 2.22 of Global Sector Rotation Strategy is lower, thus better.
• During the last 3 years, the Ulcer Index is 2.41 , which is lower, thus better than the value of 5.15 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.'

• The maximum reduction from previous high over 5 years of Global Sector Rotation Strategy is -6.4 days, which is higher, thus better compared to the benchmark ACWI (-19.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -6.4 days, which is larger, 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) in days.'

• Compared with the benchmark ACWI (407 days) in the period of the last 5 years, the maximum days under water of 251 days of Global Sector Rotation Strategy is smaller, thus better.
• Looking at maximum days under water in of 251 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (373 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 days below previous high of 47 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (139 days)
• Compared with ACWI (114 days) in the period of the last 3 years, the average days under water of 58 days is lower, thus better.