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 increase in value of 84.1% in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (55.4%)
• Looking at total return, or increase in value in of 69.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (53.9%).

CAGR:

'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.'

• Looking at the annual performance (CAGR) of 13% in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (9.3%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 19.2%, which is greater, thus better than the value of 15.5% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the 30 days standard deviation of 7.9% in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (14.6%)
• During the last 3 years, the historical 30 days volatility is 8.3%, which is lower, thus better than the value of 13.3% from the benchmark.

DownVol:

'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 (10.1%) in the period of the last 5 years, the downside volatility of 5.4% of US Market Strategy is lower, thus better.
• Compared with DIA (8.9%) in the period of the last 3 years, the downside volatility of 5.7% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of US Market Strategy is 1.33, which is higher, thus better compared to the benchmark DIA (0.46) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 2.01 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (0.98).

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.'

• Looking at the downside risk / excess return profile of 1.93 in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (0.67)
• Compared with DIA (1.47) in the period of the last 3 years, the downside risk / excess return profile of 2.95 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.'

• Compared with the benchmark DIA (5.94 ) in the period of the last 5 years, the Downside risk index of 2.48 of US Market Strategy is lower, thus better.
• Looking at Ulcer Ratio in of 1.39 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (3.33 ).

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.'

• The maximum DrawDown over 5 years of US Market Strategy is -9.2 days, which is greater, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• Compared with DIA (-16 days) in the period of the last 3 years, the maximum drop from peak to valley of -6.8 days is higher, 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.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum days below previous high of 261 days of US Market Strategy is smaller, thus better.
• Compared with DIA (142 days) in the period of the last 3 years, the maximum days below previous high of 77 days is smaller, thus better.

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 47 days in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (115 days)
• Looking at average days under water in of 15 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (27 days).