US Market Strategy

TotalReturn:

'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.'

• Looking at the total return, or performance of 57.5% in the last 5 years of US Market Strategy, we see it is relatively lower, thus worse in comparison to the benchmark DIA (63.1%)
• Looking at total return in of 21.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to DIA (25.5%).

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 annual performance (CAGR) over 5 years of US Market Strategy is 9.5%, which is smaller, thus worse compared to the benchmark DIA (10.3%) in the same period.
• Compared with DIA (7.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6.8% is smaller, thus worse.

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 US Market Strategy is 9.6%, which is smaller, thus better compared to the benchmark DIA (20.9%) in the same period.
• Looking at 30 days standard deviation in of 11.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (24.2%).

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 US Market Strategy is 6.9%, which is smaller, thus better compared to the benchmark DIA (15.3%) in the same period.
• Compared with DIA (17.7%) in the period of the last 3 years, the downside volatility of 8.1% 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 DIA (0.37) in the period of the last 5 years, the Sharpe Ratio of 0.73 of US Market Strategy is higher, thus better.
• During the last 3 years, the Sharpe Ratio is 0.38, which is larger, thus better than the value of 0.22 from the benchmark.

Sortino:

'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.'

• Compared with the benchmark DIA (0.51) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.02 of US Market Strategy is larger, thus better.
• Compared with DIA (0.3) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.53 is greater, thus better.

Ulcer:

'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.'

• The Ulcer Index over 5 years of US Market Strategy is 2.99 , which is lower, thus better compared to the benchmark DIA (6.86 ) in the same period.
• Looking at Ulcer Ratio in of 3.74 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (7.85 ).

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 -15.3 days in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (-36.7 days)
• Looking at maximum reduction from previous high in of -15.3 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (-36.7 days).

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.'

• Compared with the benchmark DIA (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 146 days of US Market Strategy is smaller, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 146 days, which is lower, thus better than the value of 187 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.'

• Looking at the average days under water of 28 days in the last 5 years of US Market Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (49 days)
• Compared with DIA (46 days) in the period of the last 3 years, the average time in days below previous high water mark of 36 days is lower, thus better.