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 over 5 years of World Top 4 Strategy is 92.2%, which is higher, thus better compared to the benchmark ACWI (65.3%) in the same period.
• During the last 3 years, the total return is 68.2%, which is smaller, thus worse than the value of 72.1% 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 (10.6%) in the period of the last 5 years, the annual return (CAGR) of 14% of World Top 4 Strategy is larger, thus better.
• Compared with ACWI (19.9%) in the period of the last 3 years, the annual performance (CAGR) of 19% is smaller, thus worse.

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.'

• Looking at the 30 days standard deviation of 8.5% in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (16%)
• Looking at historical 30 days volatility in of 9.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (14.3%).

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.'

• Looking at the downside volatility of 5.8% in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (11%)
• Looking at downside deviation in of 6.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (9.6%).

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 ratio of return and volatility (Sharpe) over 5 years of World Top 4 Strategy is 1.36, which is greater, thus better compared to the benchmark ACWI (0.51) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 1.72, which is higher, thus better than the value of 1.22 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark ACWI (0.73) in the period of the last 5 years, the ratio of annual return and downside deviation of 2 of World Top 4 Strategy is greater, thus better.
• Compared with ACWI (1.82) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.51 is higher, thus better.

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.'

• The Ulcer Ratio over 5 years of World Top 4 Strategy is 2.63 , which is lower, thus better compared to the benchmark ACWI (8.89 ) in the same period.
• During the last 3 years, the Downside risk index is 2.22 , which is lower, thus better than the value of 3.21 from the benchmark.

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 (-26.4 days) in the period of the last 5 years, the maximum drop from peak to valley of -9.6 days of World Top 4 Strategy is larger, thus better.
• Compared with ACWI (-16.5 days) in the period of the last 3 years, the maximum drop from peak to valley 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.'

• Looking at the maximum days under water of 247 days in the last 5 years of World Top 4 Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (516 days)
• Compared with ACWI (94 days) in the period of the last 3 years, the maximum days below previous high of 102 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 World Top 4 Strategy is 45 days, which is lower, thus better compared to the benchmark ACWI (127 days) in the same period.
• Looking at average days below previous high in of 22 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (17 days).