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, or increase in value of 89.8% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (60.5%)
• Compared with ACWI (20.8%) in the period of the last 3 years, the total return, or performance of 11% is smaller, thus worse.

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.'

• Looking at the annual performance (CAGR) of 13.7% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (10%)
• Compared with ACWI (6.5%) in the period of the last 3 years, the annual performance (CAGR) of 3.5% 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.'

• Looking at the historical 30 days volatility of 9.3% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (20%)
• Compared with ACWI (16.5%) in the period of the last 3 years, the 30 days standard deviation of 6.5% is smaller, thus better.

DownVol:

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

• 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.
• Compared with ACWI (11.5%) in the period of the last 3 years, the downside volatility of 4.7% 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.'

• Compared with the benchmark ACWI (0.37) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.2 of Global Sector Rotation Strategy is larger, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.16, which is smaller, thus worse than the value of 0.24 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The downside risk / excess return profile over 5 years of Global Sector Rotation Strategy is 1.69, which is greater, thus better compared to the benchmark ACWI (0.51) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.22, which is lower, thus worse than the value of 0.35 from the benchmark.

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.'

• Compared with the benchmark ACWI (9.94 ) in the period of the last 5 years, the Ulcer Index of 3.61 of Global Sector Rotation Strategy is smaller, thus better.
• Looking at Ulcer Ratio in of 3.85 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (10 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum reduction from previous high of -16.8 days of Global Sector Rotation Strategy is higher, thus better.
• Compared with ACWI (-25.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -9.2 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.'

• The maximum time in days below previous high water mark over 5 years of Global Sector Rotation Strategy is 463 days, which is smaller, thus better compared to the benchmark ACWI (516 days) in the same period.
• Compared with ACWI (483 days) in the period of the last 3 years, the maximum days below previous high of 463 days is smaller, 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 days under water over 5 years of Global Sector Rotation Strategy is 113 days, which is lower, thus better compared to the benchmark ACWI (131 days) in the same period.
• Looking at average days under water in of 162 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (170 days).