Gold-USD Aggressive Sub-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.'

• The total return, or performance over 5 years of Gold-USD Aggressive Sub-strategy is 144.3%, which is greater, thus better compared to the benchmark GLD (124.3%) in the same period.
• During the last 3 years, the total return is 91.9%, which is lower, thus worse than the value of 109.3% 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 GLD (17.6%) in the period of the last 5 years, the annual return (CAGR) of 19.6% of Gold-USD Aggressive Sub-strategy is greater, thus better.
• Compared with GLD (28%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 24.4% is lower, thus worse.

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.'

• Looking at the historical 30 days volatility of 20.2% in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark GLD (18.3%)
• Looking at 30 days standard deviation in of 20.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (20.5%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of Gold-USD Aggressive Sub-strategy is 14.7%, which is larger, thus worse compared to the benchmark GLD (12.9%) in the same period.
• Looking at downside deviation in of 14.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (14.6%).

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 GLD (0.83) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.85 of Gold-USD Aggressive Sub-strategy is larger, thus better.
• Compared with GLD (1.25) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.07 is lower, thus worse.

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.'

• The ratio of annual return and downside deviation over 5 years of Gold-USD Aggressive Sub-strategy is 1.17, which is greater, thus better compared to the benchmark GLD (1.17) in the same period.
• Looking at downside risk / excess return profile in of 1.49 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.75).

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 Gold-USD Aggressive Sub-strategy is 15 , which is higher, thus worse compared to the benchmark GLD (7.82 ) in the same period.
• Compared with GLD (6.01 ) in the period of the last 3 years, the Ulcer Ratio of 7.88 is greater, thus worse.

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 GLD (-26.2 days) in the period of the last 5 years, the maximum reduction from previous high of -34.6 days of Gold-USD Aggressive Sub-strategy is smaller, thus worse.
• Compared with GLD (-26.2 days) in the period of the last 3 years, the maximum DrawDown of -20 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) in days.'

• Looking at the maximum time in days below previous high water mark of 609 days in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark GLD (436 days)
• Compared with GLD (102 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 271 days is larger, thus worse.

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.'

• Looking at the average days under water of 173 days in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark GLD (100 days)
• Compared with GLD (24 days) in the period of the last 3 years, the average time in days below previous high water mark of 71 days is higher, thus worse.