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.'

• Compared with the benchmark ACWI (97.1%) in the period of the last 5 years, the total return, or increase in value of 49% of Global Sector Rotation Strategy is smaller, thus worse.
• During the last 3 years, the total return, or performance is 30.2%, which is smaller, thus worse 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.'

• The compounded annual growth rate (CAGR) over 5 years of Global Sector Rotation Strategy is 8.3%, which is lower, thus worse compared to the benchmark ACWI (14.5%) in the same period.
• Compared with ACWI (16.3%) in the period of the last 3 years, the annual performance (CAGR) of 9.2% 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.'

• The volatility over 5 years of Global Sector Rotation Strategy is 9.1%, which is lower, thus better compared to the benchmark ACWI (17.8%) in the same period.
• Looking at 30 days standard deviation in of 10.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (21.5%).

DownVol:

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

• Looking at the downside deviation of 6.9% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (13.2%)
• During the last 3 years, the downside volatility is 8.2%, which is lower, thus better than the value of 15.9% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of Global Sector Rotation Strategy is 0.64, which is smaller, thus worse compared to the benchmark ACWI (0.67) in the same period.
• Compared with ACWI (0.64) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.62 is lower, thus worse.

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.'

• Compared with the benchmark ACWI (0.91) in the period of the last 5 years, the excess return divided by the downside deviation of 0.85 of Global Sector Rotation Strategy is lower, thus worse.
• Compared with ACWI (0.87) in the period of the last 3 years, the excess return divided by the downside deviation of 0.81 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Index over 5 years of Global Sector Rotation Strategy is 4.36 , which is lower, thus better compared to the benchmark ACWI (6.26 ) in the same period.
• Compared with ACWI (6.6 ) in the period of the last 3 years, the Ulcer Ratio of 5.46 is lower, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum DrawDown over 5 years of Global Sector Rotation Strategy is -23.8 days, which is larger, thus better compared to the benchmark ACWI (-33.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -23.8 days, which is higher, thus better than the value of -33.5 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.'

• The maximum days under water over 5 years of Global Sector Rotation Strategy is 218 days, which is smaller, thus better compared to the benchmark ACWI (373 days) in the same period.
• Compared with ACWI (133 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 218 days is higher, thus worse.

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 43 days, which is lower, thus better compared to the benchmark ACWI (80 days) in the same period.
• During the last 3 years, the average days below previous high is 49 days, which is larger, thus worse than the value of 27 days from the benchmark.