World Top 4 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 increase in value over 5 years of World Top 4 Strategy is 104.5%, which is larger, thus better compared to the benchmark ACWI (67.3%) in the same period.
• During the last 3 years, the total return, or performance is 27.4%, which is larger, thus better than the value of 16.2% from the benchmark.

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 compounded annual growth rate (CAGR) over 5 years of World Top 4 Strategy is 15.4%, which is higher, thus better compared to the benchmark ACWI (10.9%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 8.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (5.2%).

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.'

• Compared with the benchmark ACWI (19.9%) in the period of the last 5 years, the volatility of 8.2% of World Top 4 Strategy is smaller, thus better.
• Compared with ACWI (16.6%) in the period of the last 3 years, the 30 days standard deviation of 6.8% is lower, thus better.

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 5.8%, which is lower, thus better compared to the benchmark ACWI (14.4%) in the same period.
• Looking at downside risk in of 4.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (11.6%).

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.'

• Looking at the risk / return profile (Sharpe) of 1.57 in the last 5 years of World Top 4 Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.42)
• Compared with ACWI (0.16) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.88 is higher, thus better.

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.'

• Looking at the excess return divided by the downside deviation of 2.24 in the last 5 years of World Top 4 Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.58)
• Compared with ACWI (0.23) in the period of the last 3 years, the excess return divided by the downside deviation of 1.29 is higher, thus better.

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 Index over 5 years of World Top 4 Strategy is 2.68 , which is lower, thus better compared to the benchmark ACWI (9.93 ) in the same period.
• During the last 3 years, the Downside risk index is 2.92 , which is lower, thus better than the value of 11 from the benchmark.

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 -14.6 days in the last 5 years of World Top 4 Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (-33.5 days)
• During the last 3 years, the maximum DrawDown is -8.1 days, which is higher, thus better than the value of -26.4 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) in days.'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum days under water of 247 days of World Top 4 Strategy is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 247 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (516 days).

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 time in days below previous high water mark over 5 years of World Top 4 Strategy is 44 days, which is lower, thus better compared to the benchmark ACWI (133 days) in the same period.
• Looking at average time in days below previous high water mark in of 61 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (192 days).