World Top 4 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.'

• Compared with the benchmark SPY (108.8%) in the period of the last 5 years, the total return of 183.2% of World Top 4 balanced sub-strategy is larger, thus better.
• Looking at total return in of 53.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (43.5%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 23.2% in the last 5 years of World Top 4 balanced sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (15.9%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 15.4%, which is greater, thus better than the value of 12.8% 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 World Top 4 balanced sub-strategy is 16.5%, which is smaller, thus better compared to the benchmark SPY (20.6%) in the same period.
• Looking at historical 30 days volatility in of 12.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.1%).

DownVol:

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

• Looking at the downside risk of 11.7% in the last 5 years of World Top 4 balanced sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (14.7%)
• Looking at downside volatility in of 8.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (11.9%).

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 Sharpe Ratio over 5 years of World Top 4 balanced sub-strategy is 1.26, which is higher, thus better compared to the benchmark SPY (0.65) in the same period.
• Compared with SPY (0.61) in the period of the last 3 years, the Sharpe Ratio of 1.02 is higher, thus better.

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.'

• The ratio of annual return and downside deviation over 5 years of World Top 4 balanced sub-strategy is 1.77, which is greater, thus better compared to the benchmark SPY (0.91) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.49, which is larger, thus better than the value of 0.87 from the benchmark.

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.'

• The Ulcer Index over 5 years of World Top 4 balanced sub-strategy is 5.01 , which is smaller, thus better compared to the benchmark SPY (8.52 ) in the same period.
• Compared with SPY (8.58 ) in the period of the last 3 years, the Ulcer Ratio of 5.67 is lower, thus better.

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 SPY (-24.6 days) in the period of the last 5 years, the maximum drop from peak to valley of -20.3 days of World Top 4 balanced sub-strategy is larger, thus better.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum reduction from previous high of -17.2 days is larger, 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 time in days below previous high water mark of 247 days in the last 5 years of World Top 4 balanced sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 247 days, which is smaller, thus better than the value of 325 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 SPY (118 days) in the period of the last 5 years, the average days under water of 44 days of World Top 4 balanced sub-strategy is lower, thus better.
• Looking at average days under water in of 59 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (90 days).