US Sectors Balanced Sub-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 Sectors Balanced Sub-strategy is 123.2%, which is higher, thus better compared to the benchmark SPY (96.4%) in the same period.
• Looking at total return, or performance in of 24.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (28.9%).

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 (14.5%) in the period of the last 5 years, the annual return (CAGR) of 17.5% of US Sectors Balanced Sub-strategy is greater, thus better.
• During the last 3 years, the annual return (CAGR) is 7.6%, which is smaller, thus worse than the value of 8.9% 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.'

• The historical 30 days volatility over 5 years of US Sectors Balanced Sub-strategy is 23.8%, which is greater, thus worse compared to the benchmark SPY (21%) in the same period.
• Looking at historical 30 days volatility in of 20.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.5%).

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 Sectors Balanced Sub-strategy is 16.8%, which is higher, thus worse compared to the benchmark SPY (15%) in the same period.
• Looking at downside volatility in of 15.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

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.'

• The Sharpe Ratio over 5 years of US Sectors Balanced Sub-strategy is 0.63, which is higher, thus better compared to the benchmark SPY (0.57) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.25 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.36).

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.'

• The ratio of annual return and downside deviation over 5 years of US Sectors Balanced Sub-strategy is 0.89, which is higher, thus better compared to the benchmark SPY (0.8) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.34, which is lower, thus worse than the value of 0.52 from the benchmark.

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.'

• The Downside risk index over 5 years of US Sectors Balanced Sub-strategy is 11 , which is larger, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Looking at Downside risk index in of 13 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

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.'

• Looking at the maximum DrawDown of -28.9 days in the last 5 years of US Sectors Balanced Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -26.5 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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 below previous high over 5 years of US Sectors Balanced Sub-strategy is 644 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 644 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.'

• Looking at the average days under water of 194 days in the last 5 years of US Sectors Balanced Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (122 days)
• During the last 3 years, the average days under water is 290 days, which is larger, thus worse than the value of 177 days from the benchmark.