This is the aggressive version of the Global Sector Rotation Strategy and is used as a sub-strategy. It picks on a monthly basis the top two performing global sectors.

EEM – iShares MSCI Emerging Markets

DBEM – Emerging Markets Equity Fund

EPP – iShares MSCI Pacific ex-Japan

DBAP – MSCI AC Asia Pacific ex Japan Hedged Equity Fund

FEZ – SPDR Euro STOXX 50

HEDJ – Europe Hedged Equity Fund

IHDG – WisdomTree Int’l Hedged Quality Divident ETF

MDY – S&P MidCap 400

From the HEDGE sub-strategy:

GLD – SPDR Gold Shares

TLT– iShares Barclays Long-Term Treasury (15-18yr)

From the Short Sectors sub-strategy:

SMN - ProShares UltraShort Basic Materials

ERY - Direxion Daily Energy Bear 3X ETF

SKF - ProShares UltraShort Financials

SIJ - ProShares UltraShort Industrial

REW - ProShares UltraShort Technolog

RXD - ProShares UltraShort Health Car

SCC - ProShares UltraShort Consumer Service

SDP - ProShares UltraShort Utilitie

SZK - ProShares UltraShort Consumer Goods

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:- The total return, or performance over 5 years of GSRS Aggressive Sub-strategy is 196.5%, which is higher, thus better compared to the benchmark SPY (61.9%) in the same period.
- Looking at total return, or increase in value in of 268.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (79.4%).

'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.'

Using this definition on our asset we see for example:- Looking at the annual return (CAGR) of 24.3% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.1%)
- During the last 3 years, the annual return (CAGR) is 54.5%, which is higher, thus better than the value of 21.5% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the historical 30 days volatility of 22.8% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21.5%)
- Looking at historical 30 days volatility in of 23.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21.2%).

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

Applying this definition to our asset in some examples:- The downside deviation over 5 years of GSRS Aggressive Sub-strategy is 15.9%, which is higher, thus worse compared to the benchmark SPY (15.5%) in the same period.
- During the last 3 years, the downside risk is 14.9%, which is higher, thus worse than the value of 14.1% from the benchmark.

'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.'

Which means for our asset as example:- The ratio of return and volatility (Sharpe) over 5 years of GSRS Aggressive Sub-strategy is 0.96, which is greater, thus better compared to the benchmark SPY (0.36) in the same period.
- Looking at risk / return profile (Sharpe) in of 2.18 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.9).

'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.'

Applying this definition to our asset in some examples:- Looking at the excess return divided by the downside deviation of 1.38 in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.49)
- During the last 3 years, the excess return divided by the downside deviation is 3.5, which is larger, thus better than the value of 1.35 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (9.15 ) in the period of the last 5 years, the Ulcer Index of 7.83 of GSRS Aggressive Sub-strategy is lower, thus better.
- Compared with SPY (9.78 ) in the period of the last 3 years, the Ulcer Ratio of 7.45 is lower, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum reduction from previous high of -38.7 days in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum DrawDown in of -20.8 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-24.5 days).

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 231 days in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (305 days)
- During the last 3 years, the maximum time in days below previous high water mark is 231 days, which is lower, thus better than the value of 305 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (65 days) in the period of the last 5 years, the average days under water of 62 days of GSRS Aggressive Sub-strategy is smaller, thus better.
- Compared with SPY (80 days) in the period of the last 3 years, the average days below previous high of 60 days is smaller, thus better.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of GSRS Aggressive Sub-strategy are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.