World Top 4 Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark ACWI (83%) in the period of the last 5 years, the total return of 110.7% of World Top 4 Strategy is larger, thus better.
• During the last 3 years, the total return is 43.8%, which is lower, thus worse than the value of 59.1% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark ACWI (12.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 16.1% of World Top 4 Strategy is larger, thus better.
• Compared with ACWI (16.8%) in the period of the last 3 years, the annual return (CAGR) of 12.9% is lower, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the volatility of 8.3% in the last 5 years of World Top 4 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (16.4%)
• During the last 3 years, the 30 days standard deviation is 7.7%, which is lower, thus better than the value of 16.3% 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 deviation over 5 years of World Top 4 Strategy is 5.5%, which is lower, thus better compared to the benchmark ACWI (11.3%) in the same period.
• Compared with ACWI (10.7%) in the period of the last 3 years, the downside deviation of 5.1% 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.'

• Looking at the Sharpe Ratio of 1.65 in the last 5 years of World Top 4 Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.63)
• Compared with ACWI (0.88) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.35 is greater, thus better.

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 excess return divided by the downside deviation of 2.5 in the last 5 years of World Top 4 Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.92)
• Looking at downside risk / excess return profile in of 2.03 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (1.34).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Downside risk index over 5 years of World Top 4 Strategy is 2.47 , which is lower, thus better compared to the benchmark ACWI (8.89 ) in the same period.
• Looking at Ulcer Index in of 1.86 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (4.69 ).

MaxDD:

'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.'

• Looking at the maximum DrawDown of -8.2 days in the last 5 years of World Top 4 Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (-26.4 days)
• Looking at maximum reduction from previous high in of -6.4 days in the period of the last 3 years, we see it is relatively greater, 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 below previous high over 5 years of World Top 4 Strategy is 247 days, which is smaller, thus better compared to the benchmark ACWI (516 days) in the same period.
• Compared with ACWI (115 days) in the period of the last 3 years, the maximum days under water of 106 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.'

• The average days below previous high over 5 years of World Top 4 Strategy is 45 days, which is lower, thus better compared to the benchmark ACWI (129 days) in the same period.
• Looking at average days below previous high in of 30 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (28 days).