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.'

• The total return, or performance over 5 years of Global Sector Rotation Strategy is 54.6%, which is lower, thus worse compared to the benchmark ACWI (57.3%) in the same period.
• Compared with ACWI (43.1%) in the period of the last 3 years, the total return, or performance of 40.7% is lower, thus worse.

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 (9.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 9.1% of Global Sector Rotation Strategy is smaller, thus worse.
• Looking at annual return (CAGR) in of 12% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (12.7%).

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.'

• The volatility over 5 years of Global Sector Rotation Strategy is 6.3%, which is lower, thus better compared to the benchmark ACWI (13.3%) in the same period.
• Looking at historical 30 days volatility in of 5.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (11.9%).

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 (14.8%) in the period of the last 5 years, the downside risk of 6.8% of Global Sector Rotation Strategy is lower, thus better.
• Looking at downside deviation in of 6.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (13.8%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of Global Sector Rotation Strategy is 1.05, which is larger, thus better compared to the benchmark ACWI (0.53) in the same period.
• Compared with ACWI (0.85) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.63 is greater, 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.'

• The downside risk / excess return profile over 5 years of Global Sector Rotation Strategy is 0.97, which is higher, thus better compared to the benchmark ACWI (0.47) in the same period.
• Compared with ACWI (0.74) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.44 is higher, thus better.

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 Ratio over 5 years of Global Sector Rotation Strategy is 2.18 , which is smaller, thus better compared to the benchmark ACWI (6.14 ) in the same period.
• During the last 3 years, the Downside risk index is 1.37 , which is lower, thus better than the value of 5.14 from the benchmark.

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.'

• Compared with the benchmark ACWI (-19.5 days) in the period of the last 5 years, the maximum DrawDown of -6.2 days of Global Sector Rotation Strategy is larger, thus better.
• During the last 3 years, the maximum DrawDown is -6 days, which is greater, thus better than the value of -19.5 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'

• Looking at the maximum days under water of 282 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (408 days)
• During the last 3 years, the maximum days below previous high is 124 days, which is lower, thus better than the value of 373 days from the benchmark.

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 (141 days) in the period of the last 5 years, the average days below previous high of 64 days of Global Sector Rotation Strategy is smaller, thus better.
• Looking at average days under water in of 24 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (114 days).