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.'

• Looking at the total return, or increase in value of 107.3% in the last 5 years of World Top 4 Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (74.7%)
• During the last 3 years, the total return, or performance is 65.6%, which is lower, thus worse than the value of 68% 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.'

• The compounded annual growth rate (CAGR) over 5 years of World Top 4 Strategy is 15.7%, which is greater, thus better compared to the benchmark ACWI (11.8%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 18.4%, which is lower, thus worse than the value of 19% from the benchmark.

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 7.7% in the last 5 years of World Top 4 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (15.9%)
• Compared with ACWI (14.4%) in the period of the last 3 years, the volatility of 8.2% is smaller, thus better.

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.'

• Compared with the benchmark ACWI (11%) in the period of the last 5 years, the downside risk of 5.1% of World Top 4 Strategy is smaller, thus better.
• During the last 3 years, the downside volatility is 5.4%, which is lower, thus better than the value of 9.7% from the benchmark.

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.'

• Compared with the benchmark ACWI (0.59) in the period of the last 5 years, the Sharpe Ratio of 1.72 of World Top 4 Strategy is higher, thus better.
• Looking at Sharpe Ratio in of 1.94 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (1.15).

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.'

• The excess return divided by the downside deviation over 5 years of World Top 4 Strategy is 2.6, which is greater, thus better compared to the benchmark ACWI (0.85) in the same period.
• Compared with ACWI (1.7) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.96 is larger, thus better.

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 Ulcer Ratio over 5 years of World Top 4 Strategy is 2.39 , which is lower, thus better compared to the benchmark ACWI (8.86 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 1.72 , which is lower, thus better than the value of 3.25 from the benchmark.

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.'

• Compared with the benchmark ACWI (-26.4 days) in the period of the last 5 years, the maximum DrawDown of -8.1 days of World Top 4 Strategy is higher, thus better.
• During the last 3 years, the maximum drop from peak to valley is -6.4 days, which is larger, thus better than the value of -16.5 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.'

• Looking at the maximum time in days below previous high water mark 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)
• During the last 3 years, the maximum time in days below previous high water mark is 102 days, which is higher, thus worse than the value of 94 days from the benchmark.

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.'

• Compared with the benchmark ACWI (128 days) in the period of the last 5 years, the average days under water of 45 days of World Top 4 Strategy is lower, thus better.
• Looking at average days below previous high in of 22 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (20 days).