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.'

• Looking at the total return, or performance of 106% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (57.9%)
• Looking at total return, or increase in value in of 9.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (12.8%).

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 (9.6%) in the period of the last 5 years, the annual performance (CAGR) of 15.6% of Global Sector Rotation Strategy is greater, thus better.
• Looking at compounded annual growth rate (CAGR) in of 3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (4.1%).

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.'

• The historical 30 days volatility over 5 years of Global Sector Rotation Strategy is 9.4%, which is lower, thus better compared to the benchmark ACWI (20%) in the same period.
• During the last 3 years, the volatility is 6.2%, which is lower, thus better than the value of 16.3% from the benchmark.

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.'

• The downside deviation over 5 years of Global Sector Rotation Strategy is 6.6%, which is lower, thus better compared to the benchmark ACWI (14.5%) in the same period.
• During the last 3 years, the downside deviation is 4.5%, which is lower, thus better than the value of 11.4% from the benchmark.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 1.39 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.35)
• Looking at ratio of return and volatility (Sharpe) in of 0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (0.1).

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 (0.49) in the period of the last 5 years, the downside risk / excess return profile of 1.98 of Global Sector Rotation Strategy is higher, thus better.
• Compared with ACWI (0.14) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.12 is smaller, thus worse.

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 3.63 , which is lower, thus better compared to the benchmark ACWI (9.95 ) in the same period.
• During the last 3 years, the Downside risk index is 3.91 , which is lower, thus better than the value of 11 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 (-33.5 days) in the period of the last 5 years, the maximum DrawDown of -16.8 days of Global Sector Rotation Strategy is higher, thus better.
• Compared with ACWI (-26.4 days) in the period of the last 3 years, the maximum DrawDown of -9.2 days is larger, 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 under water of 463 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 (516 days) in the period of the last 3 years, the maximum days under water of 463 days is lower, thus better.

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 113 days, which is lower, thus better compared to the benchmark ACWI (133 days) in the same period.
• During the last 3 years, the average days below previous high is 163 days, which is smaller, thus better than the value of 193 days from the benchmark.