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.'

• Looking at the total return of 41.8% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (68.5%)
• During the last 3 years, the total return, or increase in value is 43.9%, which is lower, thus worse than the value of 74.5% from the benchmark.

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 (11%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.3% of Global Sector Rotation Strategy is lower, thus worse.
• Compared with ACWI (20.5%) in the period of the last 3 years, the annual return (CAGR) of 12.9% is lower, thus worse.

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.'

• Looking at the volatility of 7.9% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (16.2%)
• During the last 3 years, the 30 days standard deviation is 8.6%, which is lower, thus better than the value of 14.5% 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.'

• Looking at the downside volatility of 5.7% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (11.1%)
• During the last 3 years, the downside risk is 6.1%, which is lower, thus better than the value of 9.8% 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.'

• Compared with the benchmark ACWI (0.53) in the period of the last 5 years, the Sharpe Ratio of 0.6 of Global Sector Rotation Strategy is greater, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 1.22, which is lower, thus worse than the value of 1.24 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 0.84 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (0.77)
• Compared with ACWI (1.84) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.72 is lower, thus worse.

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.'

• Looking at the Downside risk index of 3.64 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (8.9 )
• During the last 3 years, the Downside risk index is 2.25 , which is smaller, thus better than the value of 3.23 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.'

• Looking at the maximum DrawDown of -9.2 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (-26.4 days)
• During the last 3 years, the maximum DrawDown is -6.8 days, which is higher, thus better than the value of -16.5 days from the benchmark.

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'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum days below previous high of 473 days of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (94 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 92 days is smaller, thus better.

AveDuration:

'The Average 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. 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 116 days, which is smaller, thus better compared to the benchmark ACWI (127 days) in the same period.
• Compared with ACWI (17 days) in the period of the last 3 years, the average days under water of 28 days is greater, thus worse.