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.'

• The total return, or performance over 5 years of Global Sector Rotation Strategy is 85.2%, which is smaller, thus worse compared to the benchmark ACWI (87.7%) in the same period.
• Looking at total return, or performance in of 23.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (60.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of Global Sector Rotation Strategy is 13.2%, which is smaller, thus worse compared to the benchmark ACWI (13.5%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 7.2%, which is smaller, thus worse than the value of 17.3% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark ACWI (16.3%) in the period of the last 5 years, the 30 days standard deviation of 8.5% of Global Sector Rotation Strategy is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 7%, which is smaller, thus better than the value of 16.1% from the benchmark.

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.'

• Looking at the downside volatility of 5.8% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (11.2%)
• During the last 3 years, the downside deviation is 4.9%, which is smaller, thus better than the value of 10.7% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The Sharpe Ratio over 5 years of Global Sector Rotation Strategy is 1.26, which is higher, thus better compared to the benchmark ACWI (0.67) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.68, which is lower, thus worse than the value of 0.92 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of 1.84 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (0.98)
• Looking at downside risk / excess return profile in of 0.97 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (1.39).

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 Ratio over 5 years of Global Sector Rotation Strategy is 3.45 , which is lower, thus better compared to the benchmark ACWI (8.89 ) in the same period.
• During the last 3 years, the Downside risk index is 2.3 , which is lower, thus better than the value of 4.68 from the benchmark.

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.'

• Compared with the benchmark ACWI (-26.4 days) in the period of the last 5 years, the maximum drop from peak to valley of -9.2 days of Global Sector Rotation Strategy is larger, thus better.
• During the last 3 years, the maximum drop from peak to valley is -6.6 days, which is larger, thus better than the value of -16.5 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days under water over 5 years of Global Sector Rotation Strategy is 473 days, which is lower, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum days under water in of 334 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (115 days).

AveDuration:

'The Average 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. 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 (129 days) in the period of the last 5 years, the average days under water of 116 days of Global Sector Rotation Strategy is lower, thus better.
• During the last 3 years, the average days under water is 95 days, which is larger, thus worse than the value of 28 days from the benchmark.