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 (86.8%) in the period of the last 5 years, the total return, or performance of 93.4% of Global Sector Rotation Strategy is larger, thus better.
• Looking at total return, or increase in value in of 19.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (41.6%).

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.'

• Compared with the benchmark ACWI (13.4%) in the period of the last 5 years, the annual return (CAGR) of 14.1% of Global Sector Rotation Strategy is larger, thus better.
• During the last 3 years, the annual return (CAGR) is 6.1%, which is smaller, thus worse than the value of 12.4% 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 (16.7%) 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.
• Looking at historical 30 days volatility in of 7.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (16.7%).

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 risk over 5 years of Global Sector Rotation Strategy is 5.8%, which is lower, thus better compared to the benchmark ACWI (11.6%) in the same period.
• Looking at downside deviation in of 5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (11.3%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The Sharpe Ratio over 5 years of Global Sector Rotation Strategy is 1.36, which is larger, thus better compared to the benchmark ACWI (0.65) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.5, which is smaller, thus worse than the value of 0.59 from the benchmark.

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 2 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (0.94)
• Compared with ACWI (0.88) in the period of the last 3 years, the downside risk / excess return profile of 0.71 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of Global Sector Rotation Strategy is 3.45 , which is lower, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 2.57 , which is smaller, thus better than the value of 5.01 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.'

• 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.
• Looking at maximum drop from peak to valley in of -6.9 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (-16.5 days).

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 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)
• Compared with ACWI (115 days) in the period of the last 3 years, the maximum days below previous high of 391 days is higher, thus worse.

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 time in days below previous high water mark over 5 years of Global Sector Rotation Strategy is 117 days, which is lower, thus better compared to the benchmark ACWI (128 days) in the same period.
• Looking at average days below previous high in of 123 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (29 days).