World Top 4 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.'

• Looking at the total return, or performance of 107.7% in the last 5 years of World Top 4 Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (69.2%)
• Looking at total return in of 27.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (18.6%).

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.'

• The annual return (CAGR) over 5 years of World Top 4 Strategy is 15.8%, which is greater, thus better compared to the benchmark ACWI (11.1%) in the same period.
• Compared with ACWI (5.9%) in the period of the last 3 years, the annual return (CAGR) of 8.4% is larger, thus better.

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 volatility over 5 years of World Top 4 Strategy is 8.2%, which is lower, thus better compared to the benchmark ACWI (20%) in the same period.
• Looking at 30 days standard deviation in of 6.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (16.6%).

DownVol:

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

• Compared with the benchmark ACWI (14.4%) in the period of the last 5 years, the downside volatility of 5.7% of World Top 4 Strategy is lower, thus better.
• Compared with ACWI (11.6%) in the period of the last 3 years, the downside risk of 4.6% 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 Sharpe Ratio over 5 years of World Top 4 Strategy is 1.62, which is higher, thus better compared to the benchmark ACWI (0.43) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.87 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (0.2).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark ACWI (0.6) in the period of the last 5 years, the downside risk / excess return profile of 2.31 of World Top 4 Strategy is higher, thus better.
• Looking at ratio of annual return and downside deviation in of 1.28 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (0.29).

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.'

• Compared with the benchmark ACWI (9.93 ) in the period of the last 5 years, the Downside risk index of 2.69 of World Top 4 Strategy is smaller, thus better.
• Compared with ACWI (11 ) in the period of the last 3 years, the Ulcer Index of 2.93 is lower, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum DrawDown of -14.6 days of World Top 4 Strategy is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -8.1 days, which is higher, thus better than the value of -26.4 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of World Top 4 Strategy is 247 days, which is lower, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 247 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (516 days).

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 World Top 4 Strategy is 44 days, which is lower, thus better compared to the benchmark ACWI (132 days) in the same period.
• Looking at average days under water in of 61 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (191 days).