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.'

• The total return, or performance over 5 years of US Market Strategy is 105.5%, which is lower, thus worse compared to the benchmark DIA (120.1%) in the same period.
• Compared with DIA (29.1%) in the period of the last 3 years, the total return, or performance of 32.5% is greater, thus better.

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.'

• Looking at the annual performance (CAGR) of 15.5% in the last 5 years of US Market Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark DIA (17.2%)
• During the last 3 years, the annual performance (CAGR) is 9.9%, which is greater, thus better than the value of 9% from the benchmark.

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 volatility over 5 years of US Market Strategy is 8.4%, which is lower, thus better compared to the benchmark DIA (16.4%) in the same period.
• Compared with DIA (14.4%) in the period of the last 3 years, the historical 30 days volatility of 7.9% 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 deviation over 5 years of US Market Strategy is 5.7%, which is lower, thus better compared to the benchmark DIA (11.1%) in the same period.
• Looking at downside volatility in of 5.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (10.1%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The ratio of return and volatility (Sharpe) over 5 years of US Market Strategy is 1.55, which is larger, thus better compared to the benchmark DIA (0.9) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.94, which is higher, thus better than the value of 0.45 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 (1.32) in the period of the last 5 years, the ratio of annual return and downside deviation of 2.3 of US Market Strategy is larger, thus better.
• Looking at excess return divided by the downside deviation in of 1.36 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (0.64).

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 2.6 in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (5.8 )
• Looking at Ulcer Ratio in of 2.99 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (5.2 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum DrawDown over 5 years of US Market Strategy is -9.2 days, which is higher, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• Compared with DIA (-17.8 days) in the period of the last 3 years, the maximum reduction from previous high of -9.2 days is greater, thus better.

MaxDuration:

'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.'

• The maximum days below previous high over 5 years of US Market Strategy is 261 days, which is smaller, thus better compared to the benchmark DIA (477 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 261 days, which is smaller, thus better than the value of 323 days from the benchmark.

AveDuration:

'The Average 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. 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 48 days in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (112 days)
• Looking at average days below previous high in of 63 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (90 days).