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, or increase in value over 5 years of Global Sector Rotation Strategy is 49.6%, which is lower, thus worse compared to the benchmark ACWI (96.2%) in the same period.
• Looking at total return, or performance in of 26.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (47.5%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark ACWI (14.4%) in the period of the last 5 years, the annual return (CAGR) of 8.4% of Global Sector Rotation Strategy is lower, thus worse.
• Compared with ACWI (13.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.1% is lower, thus worse.

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.'

• Compared with the benchmark ACWI (18.1%) in the period of the last 5 years, the 30 days standard deviation of 9.2% of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (21.4%) in the period of the last 3 years, the volatility of 10.7% is lower, thus better.

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 (13.4%) in the period of the last 5 years, the downside deviation of 6.9% of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (15.8%) in the period of the last 3 years, the downside deviation of 8.2% is lower, thus better.

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 ratio of return and volatility (Sharpe) over 5 years of Global Sector Rotation Strategy is 0.64, which is smaller, thus worse compared to the benchmark ACWI (0.66) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.53, which is larger, thus better than the value of 0.53 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.'

• Compared with the benchmark ACWI (0.89) in the period of the last 5 years, the excess return divided by the downside deviation of 0.85 of Global Sector Rotation Strategy is smaller, thus worse.
• Looking at ratio of annual return and downside deviation in of 0.69 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (0.71).

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.'

• Looking at the Ulcer Ratio of 4.39 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (6.28 )
• Compared with ACWI (7.08 ) in the period of the last 3 years, the Ulcer Ratio of 5.42 is lower, thus better.

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.'

• The maximum drop from peak to valley 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 DrawDown of -23.8 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) in days.'

• Looking at the maximum time in days below previous high water mark of 218 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 (373 days)
• Compared with ACWI (138 days) in the period of the last 3 years, the maximum days under water of 218 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.'

• Compared with the benchmark ACWI (81 days) in the period of the last 5 years, the average days under water of 48 days of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (37 days) in the period of the last 3 years, the average time in days below previous high water mark of 46 days is higher, thus worse.