US Market Strategy Unhedged

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.'

• Compared with the benchmark SPY (85.7%) in the period of the last 5 years, the total return, or performance of 126.4% of US Market Strategy Unhedged is higher, thus better.
• Compared with SPY (75.8%) in the period of the last 3 years, the total return, or increase in value of 72.7% is smaller, thus worse.

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.'

• Looking at the annual return (CAGR) of 17.8% in the last 5 years of US Market Strategy Unhedged, we see it is relatively higher, thus better in comparison to the benchmark SPY (13.2%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 20.1%, which is smaller, thus worse than the value of 20.8% from the benchmark.

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the 30 days standard deviation of 16.8% of US Market Strategy Unhedged is lower, thus better.
• Looking at historical 30 days volatility in of 16% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.3%).

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.'

• The downside risk over 5 years of US Market Strategy Unhedged is 11.6%, which is lower, thus better compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside risk of 11.2% is greater, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The Sharpe Ratio over 5 years of US Market Strategy Unhedged is 0.92, which is higher, thus better compared to the benchmark SPY (0.63) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.1 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.2).

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 ratio of annual return and downside deviation of 1.32 in the last 5 years of US Market Strategy Unhedged, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.91)
• Compared with SPY (1.78) in the period of the last 3 years, the downside risk / excess return profile of 1.57 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Index of 5.8 in the last 5 years of US Market Strategy Unhedged, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.45 )
• Looking at Ulcer Ratio in of 4.1 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.51 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -20 days of US Market Strategy Unhedged is greater, thus better.
• Looking at maximum drop from peak to valley in of -13.8 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 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.'

• Looking at the maximum time in days below previous high water mark of 262 days in the last 5 years of US Market Strategy Unhedged, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 92 days, which is larger, thus worse than the value of 87 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 time in days below previous high water mark of 51 days in the last 5 years of US Market Strategy Unhedged, we see it is relatively smaller, thus better in comparison to the benchmark SPY (120 days)
• Looking at average days under water in of 27 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20 days).