World Top 4 Strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark ACWI (57.2%) in the period of the last 5 years, the total return, or increase in value of 100.8% of World Top 4 Strategy is larger, thus better.
• Looking at total return, or performance in of 29.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (12.7%).

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.'

• Compared with the benchmark ACWI (9.5%) in the period of the last 5 years, the annual return (CAGR) of 15% of World Top 4 Strategy is greater, thus better.
• During the last 3 years, the annual return (CAGR) is 9%, which is greater, thus better than the value of 4.1% from the benchmark.

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 (20%) in the period of the last 5 years, the historical 30 days volatility of 8.2% of World Top 4 Strategy is smaller, thus better.
• During the last 3 years, the 30 days standard deviation is 6.5%, which is lower, thus better than the value of 16.4% 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 risk over 5 years of World Top 4 Strategy is 5.7%, which is smaller, thus better compared to the benchmark ACWI (14.5%) in the same period.
• During the last 3 years, the downside deviation is 4.3%, which is lower, thus better than the value of 11.4% 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 (0.35) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.53 of World Top 4 Strategy is larger, thus better.
• Looking at Sharpe Ratio in of 1.01 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.1).

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 downside risk / excess return profile over 5 years of World Top 4 Strategy is 2.18, which is larger, thus better compared to the benchmark ACWI (0.48) in the same period.
• Compared with ACWI (0.14) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.51 is larger, thus better.

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.'

• Compared with the benchmark ACWI (9.95 ) in the period of the last 5 years, the Ulcer Index of 2.68 of World Top 4 Strategy is smaller, thus better.
• During the last 3 years, the Downside risk index is 2.83 , which is lower, thus better than the value of 11 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 (-33.5 days) in the period of the last 5 years, the maximum DrawDown of -14.6 days of World Top 4 Strategy is higher, thus better.
• Compared with ACWI (-26.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -8.1 days is larger, thus better.

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'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum days below previous high of 247 days of World Top 4 Strategy is lower, thus better.
• Looking at maximum days under water 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 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.'

• 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 (132 days) in the same period.
• Looking at average time in days below previous high water mark in of 60 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (194 days).