Global Sector Rotation 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.'

• Looking at the total return, or increase in value of 46.4% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark ACWI (57.9%)
• Looking at total return, or performance in of 40% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (61.3%).

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.'

• Looking at the annual return (CAGR) of 8% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (9.6%)
• Looking at compounded annual growth rate (CAGR) in of 11.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (17.4%).

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%) in the period of the last 5 years, the historical 30 days volatility of 7.8% of Global Sector Rotation Strategy is lower, thus better.
• Looking at volatility in of 8.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (14.1%).

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 Sector Rotation Strategy is 5.6%, which is smaller, thus better compared to the benchmark ACWI (11%) in the same period.
• During the last 3 years, the downside deviation is 6%, which is lower, thus better than the value of 9.6% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark ACWI (0.45) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.7 of Global Sector Rotation Strategy is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 1.12, which is larger, thus better than the value of 1.05 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The ratio of annual return and downside deviation over 5 years of Global Sector Rotation Strategy is 0.97, which is greater, thus better compared to the benchmark ACWI (0.64) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.58, which is greater, thus better than the value of 1.55 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark ACWI (8.89 ) in the period of the last 5 years, the Ulcer Index of 3.53 of Global Sector Rotation Strategy is lower, thus better.
• During the last 3 years, the Ulcer Index is 2.05 , which is lower, thus better than the value of 3.2 from the benchmark.

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 -9.2 days of Global Sector Rotation Strategy is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -6.8 days, which is larger, thus better than the value of -16.5 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'

• The maximum days below previous high over 5 years of Global Sector Rotation Strategy is 473 days, which is lower, thus better compared to the benchmark ACWI (516 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 168 days, which is greater, thus worse than the value of 94 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.'

• The average days under water over 5 years of Global Sector Rotation Strategy is 116 days, which is lower, thus better compared to the benchmark ACWI (127 days) in the same period.
• Looking at average days below previous high in of 38 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (16 days).