'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.'

Applying this definition to our asset in some examples:- The total return, or performance over 5 years of The US Market Strategy undhedged is 149.5%, which is higher, thus better compared to the benchmark SPY (68.7%) in the same period.
- During the last 3 years, the total return, or performance is 86.8%, which is greater, thus better than the value of 47.9% from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual return (CAGR) of 20.1% of The US Market Strategy undhedged is larger, thus better.
- Looking at annual return (CAGR) in of 23.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (14%).

'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.'

Applying this definition to our asset in some examples:- Looking at the volatility of 13.4% in the last 5 years of The US Market Strategy undhedged, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.3%)
- Looking at 30 days standard deviation in of 12.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.5%).

'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.'

Applying this definition to our asset in some examples:- The downside risk over 5 years of The US Market Strategy undhedged is 14.9%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
- Looking at downside volatility in of 14.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.2%).

'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.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of The US Market Strategy undhedged is 1.32, which is greater, thus better compared to the benchmark SPY (0.64) in the same period.
- Looking at ratio of return and volatility (Sharpe) in of 1.62 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.91).

'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.'

Using this definition on our asset we see for example:- Looking at the excess return divided by the downside deviation of 1.18 in the last 5 years of The US Market Strategy undhedged, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.58)
- Compared with SPY (0.81) in the period of the last 3 years, the excess return divided by the downside deviation of 1.43 is higher, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Ratio of 2.87 in the last 5 years of The US Market Strategy undhedged, we see it is relatively lower, thus worse in comparison to the benchmark SPY (3.96 )
- During the last 3 years, the Downside risk index is 2.63 , which is lower, thus worse than the value of 4.01 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The maximum reduction from previous high over 5 years of The US Market Strategy undhedged is -13.9 days, which is higher, thus better compared to the benchmark SPY (-19.3 days) in the same period.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -12.8 days is higher, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 105 days of The US Market Strategy undhedged is lower, thus better.
- Looking at maximum days below previous high in of 105 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 days).

'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.'

Using this definition on our asset we see for example:- The average days below previous high over 5 years of The US Market Strategy undhedged is 19 days, which is lower, thus better compared to the benchmark SPY (41 days) in the same period.
- During the last 3 years, the average days below previous high is 19 days, which is lower, thus better than the value of 36 days from the benchmark.

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
- Performance results of The US Market Strategy undhedged are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.