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.'

• The total return, or performance over 5 years of Global Market Rotation Strategy is 55.8%, which is lower, thus worse compared to the benchmark ACWI (68.6%) in the same period.
• Looking at total return, or performance in of 42.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (75.1%).

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.'

• Looking at the annual return (CAGR) of 9.3% in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (11.1%)
• Compared with ACWI (20.6%) in the period of the last 3 years, the annual return (CAGR) of 12.7% is smaller, 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 (16.3%) in the period of the last 5 years, the 30 days standard deviation of 9.5% of Global Market Rotation Strategy is smaller, thus better.
• During the last 3 years, the volatility is 10.2%, which is lower, thus better than the value of 14.6% from the benchmark.

DownVol:

'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 volatility over 5 years of Global Market Rotation Strategy is 6.7%, which is smaller, thus better compared to the benchmark ACWI (11.2%) in the same period.
• Looking at downside deviation in of 7.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (9.8%).

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.'

• Compared with the benchmark ACWI (0.53) in the period of the last 5 years, the Sharpe Ratio of 0.72 of Global Market Rotation Strategy is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 1, which is smaller, thus worse than the value of 1.24 from the benchmark.

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.'

• Looking at the downside risk / excess return profile of 1.01 in the last 5 years of Global Market Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.77)
• Compared with ACWI (1.85) in the period of the last 3 years, the downside risk / excess return profile of 1.41 is lower, thus worse.

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 Ratio over 5 years of Global Market Rotation Strategy is 3.2 , which is smaller, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• Looking at Ulcer Ratio in of 2.21 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (2.87 ).

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 ACWI (-26.4 days) in the period of the last 5 years, the maximum reduction from previous high of -10.4 days of Global Market Rotation Strategy is higher, thus better.
• Looking at maximum DrawDown in of -7.6 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (-16.5 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.'

• The maximum days under water over 5 years of Global Market Rotation Strategy is 281 days, which is smaller, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 86 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (62 days).

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 ACWI (126 days) in the period of the last 5 years, the average time in days below previous high water mark of 56 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 21 days, which is larger, thus worse than the value of 13 days from the benchmark.