US Market 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 performance of 84.1% in the last 5 years of US Market Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (69%)
• Looking at total return, or increase in value in of 58.9% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (58%).

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.'

• Compared with the benchmark DIA (11.1%) in the period of the last 5 years, the annual performance (CAGR) of 13% of US Market Strategy is larger, thus better.
• Looking at compounded annual growth rate (CAGR) in of 16.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (16.5%).

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.'

• The historical 30 days volatility over 5 years of US Market Strategy is 8.2%, which is lower, thus better compared to the benchmark DIA (14.8%) in the same period.
• During the last 3 years, the 30 days standard deviation is 8.6%, which is lower, thus better than the value of 13.5% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark DIA (10.2%) in the period of the last 5 years, the downside deviation of 5.7% of US Market Strategy is smaller, thus better.
• Looking at downside risk in of 6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (9%).

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.'

• The risk / return profile (Sharpe) over 5 years of US Market Strategy is 1.29, which is higher, thus better compared to the benchmark DIA (0.58) in the same period.
• During the last 3 years, the Sharpe Ratio is 1.66, which is greater, thus better than the value of 1.04 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark DIA (0.85) in the period of the last 5 years, the downside risk / excess return profile of 1.86 of US Market Strategy is higher, thus better.
• Looking at downside risk / excess return profile in of 2.38 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (1.56).

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 Downside risk index of 2.61 in the last 5 years of US Market Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (6.01 )
• Looking at Ulcer Ratio in of 1.75 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (3.52 ).

MaxDD:

'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.'

• Looking at the maximum reduction from previous high of -9.2 days in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (-20.8 days)
• During the last 3 years, the maximum DrawDown is -6.8 days, which is larger, thus better than the value of -16 days from the benchmark.

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'

• Looking at the maximum time in days below previous high water mark of 261 days in the last 5 years of US Market Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (477 days)
• During the last 3 years, the maximum time in days below previous high water mark is 77 days, which is lower, thus better than the value of 142 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.'

• Compared with the benchmark DIA (117 days) in the period of the last 5 years, the average time in days below previous high water mark of 48 days of US Market Strategy is lower, thus better.
• Compared with DIA (29 days) in the period of the last 3 years, the average time in days below previous high water mark of 17 days is smaller, thus better.