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.'

• Looking at the total return, or increase in value of 209.6% in the last 5 years of World Top 4 balanced sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (108.3%)
• Compared with SPY (49.1%) in the period of the last 3 years, the total return, or increase in value of 63.1% is larger, thus better.

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 annual performance (CAGR) over 5 years of World Top 4 balanced sub-strategy is 25.4%, which is larger, thus better compared to the benchmark SPY (15.8%) in the same period.
• Looking at annual performance (CAGR) in of 17.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (14.3%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the volatility of 14.4% 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 (17.9%)
• Looking at volatility in of 14.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.1%).

DownVol:

'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.'

• The downside deviation over 5 years of World Top 4 balanced sub-strategy is 9.6%, which is smaller, thus better compared to the benchmark SPY (12.4%) in the same period.
• During the last 3 years, the downside risk is 9.6%, which is lower, thus better than the value of 12.2% from the benchmark.

Sharpe:

'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.'

• The risk / return profile (Sharpe) over 5 years of World Top 4 balanced sub-strategy is 1.59, which is higher, thus better compared to the benchmark SPY (0.75) in the same period.
• Looking at risk / return profile (Sharpe) in of 1.06 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.65).

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 downside risk / excess return profile over 5 years of World Top 4 balanced sub-strategy is 2.39, which is greater, thus better compared to the benchmark SPY (1.07) in the same period.
• Looking at excess return divided by the downside deviation in of 1.6 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.97).

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 Downside risk index over 5 years of World Top 4 balanced sub-strategy is 4.59 , which is lower, thus better compared to the benchmark SPY (8.49 ) in the same period.
• Looking at Ulcer Index in of 4.9 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (5.55 ).

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.'

• The maximum DrawDown over 5 years of World Top 4 balanced sub-strategy is -17 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -15.5 days, which is higher, thus better than the value of -18.8 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 247 days of World Top 4 balanced sub-strategy is smaller, thus better.
• During the last 3 years, the maximum days below previous high is 206 days, which is larger, thus worse than the value of 199 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 44 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 (119 days)
• Looking at average time in days below previous high water mark in of 47 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (46 days).