A sub-strategy for the World Top 4 strategy.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (66.6%) in the period of the last 5 years, the total return of 44% of World Top 4 balanced sub-strategy is smaller, thus worse.
- Looking at total return in of 6.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (36.1%).

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual performance (CAGR) of 7.6% of World Top 4 balanced sub-strategy is lower, thus worse.
- Compared with SPY (10.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 2.1% is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- The 30 days standard deviation over 5 years of World Top 4 balanced sub-strategy is 20.7%, which is larger, thus worse compared to the benchmark SPY (19%) in the same period.
- Looking at historical 30 days volatility in of 24.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22%).

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

Using this definition on our asset we see for example:- Compared with the benchmark SPY (13.9%) in the period of the last 5 years, the downside volatility of 16.4% of World Top 4 balanced sub-strategy is higher, thus worse.
- Looking at downside volatility in of 20.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (16.2%).

'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.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of World Top 4 balanced sub-strategy is 0.25, which is lower, thus worse compared to the benchmark SPY (0.43) in the same period.
- Looking at Sharpe Ratio in of -0.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.38).

'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.'

Using this definition on our asset we see for example:- Looking at the downside risk / excess return profile of 0.31 in the last 5 years of World Top 4 balanced sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.59)
- Looking at ratio of annual return and downside deviation in of -0.02 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.52).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (5.9 ) in the period of the last 5 years, the Downside risk index of 9.63 of World Top 4 balanced sub-strategy is higher, thus worse.
- Looking at Ulcer Ratio in of 12 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.98 ).

'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.'

Using this definition on our asset we see for example:- Looking at the maximum reduction from previous high of -49 days in the last 5 years of World Top 4 balanced sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum reduction from previous high is -49 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- The maximum days under water over 5 years of World Top 4 balanced sub-strategy is 206 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
- During the last 3 years, the maximum time in days below previous high water mark is 206 days, which is higher, thus worse than the value of 139 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the average days under water of 39 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 (44 days)
- Compared with SPY (41 days) in the period of the last 3 years, the average days under water of 51 days is higher, thus worse.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of World Top 4 balanced sub-strategy are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.