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.'

• Compared with the benchmark ACWI (37.5%) in the period of the last 5 years, the total return, or increase in value of 60.1% of Global Sector Rotation Strategy is higher, thus better.
• During the last 3 years, the total return, or performance is 30.8%, which is lower, thus worse than the value of 37.2% 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.'

• The compounded annual growth rate (CAGR) over 5 years of Global Sector Rotation Strategy is 9.9%, which is greater, thus better compared to the benchmark ACWI (6.6%) in the same period.
• Compared with ACWI (11.2%) in the period of the last 3 years, the annual return (CAGR) of 9.4% 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.'

• Compared with the benchmark ACWI (13.6%) in the period of the last 5 years, the volatility of 7.1% of Global Sector Rotation Strategy is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 6.1%, which is smaller, thus better than the value of 12% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside deviation of 7.4% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (14.9%)
• Looking at downside deviation in of 6.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (13.7%).

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 1.05, which is greater, thus better compared to the benchmark ACWI (0.3) in the same period.
• Compared with ACWI (0.72) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.14 is larger, thus better.

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.'

• Compared with the benchmark ACWI (0.27) in the period of the last 5 years, the ratio of annual return and downside deviation of 1 of Global Sector Rotation Strategy is greater, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.05, which is larger, thus better than the value of 0.63 from the benchmark.

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 Index over 5 years of Global Sector Rotation Strategy is 2.22 , which is lower, thus better compared to the benchmark ACWI (6.21 ) in the same period.
• Compared with ACWI (5.17 ) in the period of the last 3 years, the Ulcer Ratio of 2.42 is smaller, 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.'

• Looking at the maximum drop from peak to valley of -6.4 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (-19.5 days)
• Compared with ACWI (-19.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -6.4 days is greater, 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 days below previous high of 251 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 (407 days)
• Compared with ACWI (373 days) in the period of the last 3 years, the maximum days below previous high of 251 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.'

• Compared with the benchmark ACWI (137 days) in the period of the last 5 years, the average time in days below previous high water mark of 46 days of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (112 days) in the period of the last 3 years, the average days under water of 58 days is lower, thus better.