The Global Sector Rotation Strategy Low Volatility version

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 The Global Sector Rotation Strategy Low Volatility version is 53.6%, which is smaller, thus worse compared to the benchmark SPY (62.4%) in the same period.
• Looking at total return, or increase in value in of 40.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (39.3%).

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 The Global Sector Rotation Strategy Low Volatility version is 9%, which is lower, thus worse compared to the benchmark SPY (10.2%) in the same period.
• Looking at annual performance (CAGR) in of 12% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (11.7%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of The Global Sector Rotation Strategy Low Volatility version is 11%, which is lower, thus better compared to the benchmark SPY (13.5%) in the same period.
• Compared with SPY (13.2%) in the period of the last 3 years, the volatility of 9.5% is lower, thus better.

DownVol:

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

• The downside volatility over 5 years of The Global Sector Rotation Strategy Low Volatility version is 7.8%, which is lower, thus better compared to the benchmark SPY (9.8%) in the same period.
• During the last 3 years, the downside volatility is 6.6%, which is smaller, thus better than the value of 9.8% from the benchmark.

Sharpe:

'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.'

• Looking at the risk / return profile (Sharpe) of 0.59 in the last 5 years of The Global Sector Rotation Strategy Low Volatility version, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.57)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1, which is greater, thus better than the value of 0.69 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.'

• Compared with the benchmark SPY (0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.83 of The Global Sector Rotation Strategy Low Volatility version is higher, thus better.
• Looking at downside risk / excess return profile in of 1.43 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.94).

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.'

• Looking at the Ulcer Ratio of 3.79 in the last 5 years of The Global Sector Rotation Strategy Low Volatility version, we see it is relatively smaller, thus better in comparison to the benchmark SPY (3.98 )
• During the last 3 years, the Ulcer Ratio is 3.48 , which is lower, thus better than the value of 4.12 from the benchmark.

MaxDD:

'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.'

• Looking at the maximum reduction from previous high of -11.4 days in the last 5 years of The Global Sector Rotation Strategy Low Volatility version, we see it is relatively higher, thus better in comparison to the benchmark SPY (-19.3 days)
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -11 days is higher, 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). 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'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 248 days of The Global Sector Rotation Strategy Low Volatility version is greater, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 248 days is greater, thus worse.

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.'

• Looking at the average days below previous high of 55 days in the last 5 years of The Global Sector Rotation Strategy Low Volatility version, we see it is relatively higher, thus worse in comparison to the benchmark SPY (42 days)
• Compared with SPY (37 days) in the period of the last 3 years, the average days below previous high of 57 days is higher, thus worse.