This is the low volatility 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

'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.'

Which means for our asset as example:- Looking at the total return, or performance of 89.3% in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (102%)
- Looking at total return in of 15.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (31.5%).

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Which means for our asset as example:- Compared with the benchmark SPY (15.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 13.6% of GSRS Low Volatility Sub-strategy is smaller, thus worse.
- Looking at compounded annual growth rate (CAGR) in of 5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.6%).

'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.'

Applying this definition to our asset in some examples:- Looking at the 30 days standard deviation of 16.4% in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (20.9%)
- Looking at historical 30 days volatility in of 12.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

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

Using this definition on our asset we see for example:- Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside risk of 11.8% of GSRS Low Volatility Sub-strategy is lower, thus better.
- Looking at downside volatility in of 8.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.4%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.6) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.68 of GSRS Low Volatility Sub-strategy is higher, thus better.
- Looking at Sharpe Ratio in of 0.2 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.4).

'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.'

Applying this definition to our asset in some examples:- Looking at the downside risk / excess return profile of 0.94 in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.84)
- Compared with SPY (0.57) in the period of the last 3 years, the excess return divided by the downside deviation of 0.29 is lower, thus worse.

'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.'

Which means for our asset as example:- Looking at the Ulcer Index of 6.5 in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (9.32 )
- Looking at Downside risk index in of 6.89 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

'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.'

Which means for our asset as example:- The maximum DrawDown over 5 years of GSRS Low Volatility Sub-strategy is -33 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum DrawDown in of -19.9 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-24.5 days).

'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.'

Which means for our asset as example:- The maximum time in days below previous high water mark over 5 years of GSRS Low Volatility Sub-strategy is 464 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
- Looking at maximum days under water in of 464 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (488 days).

'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.'

Using this definition on our asset we see for example:- The average time in days below previous high water mark over 5 years of GSRS Low Volatility Sub-strategy is 115 days, which is lower, thus better compared to the benchmark SPY (123 days) in the same period.
- During the last 3 years, the average days under water is 158 days, which is smaller, thus better than the value of 177 days from the benchmark.

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 Low Volatility Sub-strategy are hypothetical and do not account for slippage, fees or taxes.
- Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.