A sub-strategy for the World Top 4 strategy.

'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.'

Using this definition on our asset we see for example:- Looking at the total return of 102.5% 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 (77.1%)
- Looking at total return, or performance in of 52.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (51.7%).

'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:- The compounded annual growth rate (CAGR) over 5 years of World Top 4 balanced sub-strategy is 15.2%, which is larger, thus better compared to the benchmark SPY (12.1%) in the same period.
- Compared with SPY (14.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 15.2% is higher, thus better.

'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.'

Which means for our asset as example:- Looking at the historical 30 days volatility of 10.9% 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 (13.3%)
- Looking at 30 days standard deviation in of 8.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (13%).

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Using this definition on our asset we see for example:- Looking at the downside risk of 7.3% 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 (9.6%)
- Compared with SPY (9.4%) in the period of the last 3 years, the downside risk of 6% is lower, thus better.

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Using this definition on our asset we see for example:- The ratio of return and volatility (Sharpe) over 5 years of World Top 4 balanced sub-strategy is 1.16, which is higher, thus better compared to the benchmark SPY (0.72) in the same period.
- During the last 3 years, the Sharpe Ratio is 1.45, which is higher, thus better than the value of 0.96 from the benchmark.

'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 1.73 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 (1)
- Looking at ratio of annual return and downside deviation in of 2.12 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.32).

'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:- Looking at the Downside risk index of 2.83 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 (3.97 )
- Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Index of 2.49 is smaller, thus better.

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Which means for our asset as example:- Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -13.7 days of World Top 4 balanced sub-strategy is higher, thus better.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -9.7 days is larger, thus better.

'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 below previous high over 5 years of World Top 4 balanced sub-strategy is 106 days, which is smaller, thus better compared to the benchmark SPY (187 days) in the same period.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 89 days is smaller, thus better.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average time in days below previous high water mark of 27 days of World Top 4 balanced sub-strategy is lower, thus better.
- During the last 3 years, the average time in days below previous high water mark is 25 days, which is smaller, thus better than the value of 37 days from the benchmark.

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.