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 increase in value over 5 years of Global Sector Rotation Strategy is 39.9%, which is lower, thus worse compared to the benchmark ACWI (65.9%) in the same period.
• Compared with ACWI (85.5%) in the period of the last 3 years, the total return of 45% is smaller, thus worse.

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.'

• Compared with the benchmark ACWI (10.7%) in the period of the last 5 years, the annual return (CAGR) of 7% of Global Sector Rotation Strategy is lower, thus worse.
• Compared with ACWI (23%) in the period of the last 3 years, the annual performance (CAGR) of 13.3% 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 historical 30 days volatility over 5 years of Global Sector Rotation Strategy is 7.9%, which is smaller, thus better compared to the benchmark ACWI (16.2%) in the same period.
• Looking at historical 30 days volatility in of 8.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (14.5%).

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 (11.1%) in the period of the last 5 years, the downside deviation of 5.7% of Global Sector Rotation Strategy is lower, thus better.
• Looking at downside risk in of 6.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (9.7%).

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.'

• Looking at the Sharpe Ratio of 0.57 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.51)
• Looking at risk / return profile (Sharpe) in of 1.26 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (1.41).

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.'

• Compared with the benchmark ACWI (0.74) in the period of the last 5 years, the downside risk / excess return profile of 0.79 of Global Sector Rotation Strategy is greater, thus better.
• Looking at ratio of annual return and downside deviation in of 1.77 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (2.12).

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.'

• The Downside risk index over 5 years of Global Sector Rotation Strategy is 3.71 , which is lower, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• During the last 3 years, the Downside risk index is 2.4 , which is smaller, thus better than the value of 2.68 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of Global Sector Rotation Strategy is -9.2 days, which is greater, thus better compared to the benchmark ACWI (-26.4 days) in the same period.
• Compared with ACWI (-16.5 days) in the period of the last 3 years, the maximum reduction from previous high of -6.8 days is higher, 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). 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'

• Looking at the maximum days below previous high of 473 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 (516 days)
• During the last 3 years, the maximum days under water is 162 days, which is greater, thus worse than the value of 62 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 (127 days) in the period of the last 5 years, the average days below previous high of 122 days of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (13 days) in the period of the last 3 years, the average days below previous high of 37 days is larger, thus worse.