World Top 4 Strategy

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.'

• The total return, or performance over 5 years of World Top 4 Strategy is 87.2%, which is larger, thus better compared to the benchmark ACWI (70.6%) in the same period.
• During the last 3 years, the total return, or increase in value is 65.4%, which is smaller, thus worse than the value of 77.1% from the benchmark.

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.'

• Compared with the benchmark ACWI (11.3%) in the period of the last 5 years, the annual performance (CAGR) of 13.4% of World Top 4 Strategy is larger, thus better.
• Compared with ACWI (21.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 18.3% is lower, thus worse.

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 30 days standard deviation over 5 years of World Top 4 Strategy is 8.6%, which is lower, thus better compared to the benchmark ACWI (16.2%) in the same period.
• Compared with ACWI (14.6%) in the period of the last 3 years, the volatility of 9.8% is smaller, thus better.

DownVol:

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

• The downside volatility over 5 years of World Top 4 Strategy is 5.9%, which is lower, thus better compared to the benchmark ACWI (11.2%) in the same period.
• Compared with ACWI (9.8%) in the period of the last 3 years, the downside volatility of 6.7% is lower, thus better.

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 ratio of return and volatility (Sharpe) over 5 years of World Top 4 Strategy is 1.27, which is larger, thus better compared to the benchmark ACWI (0.54) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.62, which is higher, thus better 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.'

• Compared with the benchmark ACWI (0.79) in the period of the last 5 years, the excess return divided by the downside deviation of 1.86 of World Top 4 Strategy is higher, thus better.
• Looking at excess return divided by the downside deviation in of 2.36 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (1.9).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Ratio of 2.88 in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (8.9 )
• Looking at Ulcer Index in of 2.51 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (2.89 ).

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 reduction from previous high of -9.6 days in the last 5 years of World Top 4 Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (-26.4 days)
• Compared with ACWI (-16.5 days) in the period of the last 3 years, the maximum reduction from previous high of -9.6 days is higher, thus better.

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 World Top 4 Strategy is 247 days, which is smaller, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum days below previous high in of 118 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (62 days).

AveDuration:

'The Average 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. 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 World Top 4 Strategy is 49 days, which is lower, thus better compared to the benchmark ACWI (127 days) in the same period.
• Compared with ACWI (13 days) in the period of the last 3 years, the average days under water of 25 days is greater, thus worse.