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.'

• The total return over 5 years of Global Sector Rotation Strategy is 31.6%, which is higher, thus better compared to the benchmark ACWI (20.9%) in the same period.
• During the last 3 years, the total return, or increase in value is 18.3%, which is greater, thus better than the value of 12.1% 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.'

• Looking at the annual performance (CAGR) of 5.6% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (3.9%)
• Looking at compounded annual growth rate (CAGR) in of 5.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (3.9%).

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.'

• The historical 30 days volatility over 5 years of Global Sector Rotation Strategy is 8.1%, which is lower, thus better compared to the benchmark ACWI (17.9%) in the same period.
• Looking at volatility in of 9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (19.7%).

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 6.1% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (13.4%)
• Looking at downside risk in of 7.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (14.9%).

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 Sharpe Ratio over 5 years of Global Sector Rotation Strategy is 0.39, which is larger, thus better compared to the benchmark ACWI (0.08) in the same period.
• Looking at Sharpe Ratio in of 0.36 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (0.07).

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 downside risk / excess return profile of 0.51 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.1)
• Compared with ACWI (0.09) in the period of the last 3 years, the excess return divided by the downside deviation of 0.46 is higher, thus better.

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 2.78 , which is lower, thus better compared to the benchmark ACWI (7.09 ) in the same period.
• Compared with ACWI (6.91 ) in the period of the last 3 years, the Ulcer Ratio of 3.18 is smaller, thus better.

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 DrawDown over 5 years of Global Sector Rotation Strategy is -23.8 days, which is greater, thus better compared to the benchmark ACWI (-33.5 days) in the same period.
• Compared with ACWI (-33.5 days) in the period of the last 3 years, the maximum reduction from previous high of -23.8 days is greater, 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.'

• Looking at the maximum time in days below previous high water mark of 149 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 (408 days)
• During the last 3 years, the maximum days below previous high is 124 days, which is lower, thus better than the value of 373 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 36 days, which is smaller, thus better compared to the benchmark ACWI (140 days) in the same period.
• Compared with ACWI (113 days) in the period of the last 3 years, the average days below previous high of 26 days is lower, thus better.