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.'

• Compared with the benchmark ACWI (89.9%) in the period of the last 5 years, the total return, or increase in value of 100.5% of Global Sector Rotation Strategy is higher, thus better.
• Looking at total return, or increase in value in of 21.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (38.1%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 15% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (13.7%)
• During the last 3 years, the annual return (CAGR) is 6.7%, which is lower, thus worse than the value of 11.4% from the benchmark.

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 historical 30 days volatility over 5 years of Global Sector Rotation Strategy is 8.5%, which is smaller, thus better compared to the benchmark ACWI (16.8%) in the same period.
• During the last 3 years, the historical 30 days volatility is 6.9%, which is lower, thus better than the value of 17% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• The downside deviation over 5 years of Global Sector Rotation Strategy is 5.7%, which is lower, thus better compared to the benchmark ACWI (11.6%) in the same period.
• During the last 3 years, the downside volatility is 4.9%, which is lower, thus better than the value of 11.6% 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.'

• Looking at the Sharpe Ratio of 1.47 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.67)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.61, which is higher, thus better than the value of 0.52 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.'

• Looking at the ratio of annual return and downside deviation of 2.17 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.97)
• During the last 3 years, the downside risk / excess return profile is 0.86, which is greater, thus better than the value of 0.77 from the benchmark.

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.'

• Compared with the benchmark ACWI (8.9 ) in the period of the last 5 years, the Downside risk index of 3.24 of Global Sector Rotation Strategy is smaller, thus better.
• During the last 3 years, the Downside risk index is 2.45 , which is lower, thus better than the value of 5.02 from the benchmark.

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.'

• Compared with the benchmark ACWI (-26.4 days) in the period of the last 5 years, the maximum reduction from previous high of -9.2 days of Global Sector Rotation Strategy is higher, thus better.
• Looking at maximum reduction from previous high in of -7.1 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (-16.5 days).

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 time in days below previous high water mark over 5 years of Global Sector Rotation Strategy is 463 days, which is lower, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 387 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (115 days).

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 under water over 5 years of Global Sector Rotation Strategy is 114 days, which is smaller, thus better compared to the benchmark ACWI (128 days) in the same period.
• During the last 3 years, the average days below previous high is 122 days, which is larger, thus worse than the value of 28 days from the benchmark.