US Market Strategy Unhedged

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 increase in value of 107.8% in the last 5 years of US Market Strategy Unhedged, we see it is relatively higher, thus better in comparison to the benchmark SPY (83.7%)
• During the last 3 years, the total return, or performance is 69.1%, which is smaller, thus worse than the value of 80.7% from the benchmark.

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.'

• Compared with the benchmark SPY (13%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 15.8% of US Market Strategy Unhedged is higher, thus better.
• Looking at annual return (CAGR) in of 19.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.9%).

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 Unhedged is 17.1%, which is lower, thus better compared to the benchmark SPY (17.2%) in the same period.
• Looking at 30 days standard deviation in of 16.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.3%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside volatility of 11.8% in the last 5 years of US Market Strategy Unhedged, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.8%)
• Looking at downside risk in of 11.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.3%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.78 in the last 5 years of US Market Strategy Unhedged, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.61)
• During the last 3 years, the risk / return profile (Sharpe) is 1.03, which is smaller, thus worse than the value of 1.27 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.'

• Looking at the ratio of annual return and downside deviation of 1.13 in the last 5 years of US Market Strategy Unhedged, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.89)
• Looking at ratio of annual return and downside deviation in of 1.47 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.9).

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.'

• Compared with the benchmark SPY (8.46 ) in the period of the last 5 years, the Downside risk index of 5.9 of US Market Strategy Unhedged is lower, thus better.
• Looking at Ulcer Index in of 4.11 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.37 ).

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.'

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

• The maximum days under water over 5 years of US Market Strategy Unhedged is 262 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 92 days is larger, thus worse.

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.'

• The average days below previous high over 5 years of US Market Strategy Unhedged is 52 days, which is smaller, thus better compared to the benchmark SPY (118 days) in the same period.
• Looking at average days below previous high in of 26 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18 days).