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.'

• Looking at the total return, or increase in value of 41.7% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (71.3%)
• Looking at total return, or performance in of 40.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (76.6%).

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 (11.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.2% of Global Sector Rotation Strategy is lower, thus worse.
• Compared with ACWI (21%) in the period of the last 3 years, the annual return (CAGR) of 11.9% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the volatility of 7.8% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (16%)
• Looking at 30 days standard deviation in of 8.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (14.3%).

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 (11%) in the period of the last 5 years, the downside volatility of 5.6% of Global Sector Rotation Strategy is smaller, thus better.
• Compared with ACWI (9.6%) in the period of the last 3 years, the downside deviation of 6% is smaller, thus better.

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.'

• Compared with the benchmark ACWI (0.56) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.61 of Global Sector Rotation Strategy is greater, thus better.
• Looking at Sharpe Ratio in of 1.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (1.29).

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 excess return divided by the downside deviation of 0.84 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.81)
• During the last 3 years, the excess return divided by the downside deviation is 1.57, which is lower, thus worse than the value of 1.93 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.'

• Compared with the benchmark ACWI (8.9 ) in the period of the last 5 years, the Ulcer Index of 3.59 of Global Sector Rotation Strategy is lower, thus better.
• Looking at Ulcer Index in of 2.13 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (3.21 ).

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.'

• Looking at the maximum reduction from previous high of -9.2 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (-26.4 days)
• Compared with ACWI (-16.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -6.8 days is larger, thus better.

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 (516 days) in the period of the last 5 years, the maximum days under water of 473 days of Global Sector Rotation Strategy is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 92 days, which is lower, thus better than the value of 94 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.'

• Compared with the benchmark ACWI (128 days) in the period of the last 5 years, the average days below previous high of 115 days of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (17 days) in the period of the last 3 years, the average days below previous high of 25 days is higher, thus worse.