Global Sector Rotation Strategy

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.'

• The total return over 5 years of Global Sector Rotation Strategy is 100%, which is greater, thus better compared to the benchmark ACWI (64.9%) in the same period.
• During the last 3 years, the total return, or increase in value is 7.2%, which is lower, thus worse than the value of 16.4% 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.'

• Compared with the benchmark ACWI (10.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 14.9% of Global Sector Rotation Strategy is larger, thus better.
• Compared with ACWI (5.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 2.3% is lower, 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.'

• Compared with the benchmark ACWI (19.9%) in the period of the last 5 years, the volatility of 9.4% of Global Sector Rotation Strategy is smaller, thus better.
• Looking at historical 30 days volatility in of 6.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (16.3%).

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 (14.5%) in the period of the last 5 years, the downside deviation of 6.7% of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (11.4%) in the period of the last 3 years, the downside volatility of 4.6% is smaller, thus better.

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.'

• The Sharpe Ratio over 5 years of Global Sector Rotation Strategy is 1.32, which is higher, thus better compared to the benchmark ACWI (0.4) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.03, which is lower, thus worse than the value of 0.17 from the benchmark.

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.'

• Compared with the benchmark ACWI (0.56) in the period of the last 5 years, the downside risk / excess return profile of 1.86 of Global Sector Rotation Strategy is greater, thus better.
• Looking at downside risk / excess return profile in of -0.04 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (0.24).

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.'

• The Ulcer Index over 5 years of Global Sector Rotation Strategy is 3.64 , which is lower, thus better compared to the benchmark ACWI (9.94 ) in the same period.
• Looking at Downside risk index in of 3.93 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (11 ).

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.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -16.8 days of Global Sector Rotation Strategy is larger, thus better.
• Compared with ACWI (-26.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -9.2 days is larger, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 463 days of Global Sector Rotation Strategy is lower, thus better.
• During the last 3 years, the maximum days under water is 463 days, which is lower, thus better than the value of 516 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.'

• The average days below previous high over 5 years of Global Sector Rotation Strategy is 113 days, which is smaller, thus better compared to the benchmark ACWI (134 days) in the same period.
• Looking at average days below previous high in of 161 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (194 days).