Global Market Rotation 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 ACWI (86.9%) in the period of the last 5 years, the total return of 87% of Global Market Rotation Strategy is higher, thus better.
• During the last 3 years, the total return, or increase in value is 24%, which is lower, thus worse than the value of 26.8% from the benchmark.

CAGR:

'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.'

• The annual performance (CAGR) over 5 years of Global Market Rotation Strategy is 13.4%, which is larger, thus better compared to the benchmark ACWI (13.4%) in the same period.
• Compared with ACWI (8.3%) in the period of the last 3 years, the annual performance (CAGR) of 7.5% is lower, thus worse.

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.'

• Compared with the benchmark ACWI (16.9%) in the period of the last 5 years, the volatility of 9.2% of Global Market Rotation Strategy is lower, thus better.
• Compared with ACWI (17.3%) in the period of the last 3 years, the 30 days standard deviation of 8.7% is smaller, thus better.

DownVol:

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

• The downside volatility over 5 years of Global Market Rotation Strategy is 6.4%, which is lower, thus better compared to the benchmark ACWI (11.7%) in the same period.
• Compared with ACWI (12%) in the period of the last 3 years, the downside volatility of 6.1% is lower, thus better.

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.'

• Compared with the benchmark ACWI (0.65) in the period of the last 5 years, the Sharpe Ratio of 1.18 of Global Market Rotation Strategy is larger, thus better.
• Looking at Sharpe Ratio in of 0.57 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (0.33).

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 Global Market Rotation Strategy is 1.71, which is larger, thus better compared to the benchmark ACWI (0.93) in the same period.
• Looking at downside risk / excess return profile in of 0.81 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.48).

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.'

• Looking at the Ulcer Ratio of 3.08 in the last 5 years of Global Market Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (8.89 )
• During the last 3 years, the Ulcer Index is 2.94 , which is lower, thus better than the value of 5.47 from the benchmark.

MaxDD:

'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.'

• The maximum reduction from previous high over 5 years of Global Market Rotation Strategy is -10.4 days, which is higher, thus better compared to the benchmark ACWI (-26.4 days) in the same period.
• Looking at maximum DrawDown in of -8.9 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (-17.4 days).

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 days under water of 281 days in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (516 days)
• Compared with ACWI (270 days) in the period of the last 3 years, the maximum days below previous high of 194 days is lower, thus better.

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.'

• Compared with the benchmark ACWI (128 days) in the period of the last 5 years, the average days below previous high of 55 days of Global Market Rotation Strategy is smaller, thus better.
• During the last 3 years, the average time in days below previous high water mark is 45 days, which is lower, thus better than the value of 66 days from the benchmark.