Gold-USD Aggressive Sub-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 GLD (131%) in the period of the last 5 years, the total return, or increase in value of 142.5% of Gold-USD Aggressive Sub-strategy is larger, thus better.
• Compared with GLD (124.1%) in the period of the last 3 years, the total return of 97.5% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual return (CAGR) of 19.5% in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (18.3%)
• Looking at annual performance (CAGR) in of 25.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (31%).

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 GLD (18.9%) in the period of the last 5 years, the 30 days standard deviation of 20.2% of Gold-USD Aggressive Sub-strategy is higher, thus worse.
• Looking at volatility in of 20.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (21.5%).

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.'

• Compared with the benchmark GLD (13.3%) in the period of the last 5 years, the downside risk of 14.7% of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• During the last 3 years, the downside risk is 14.8%, which is lower, thus better than the value of 15.3% 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.'

• Looking at the risk / return profile (Sharpe) of 0.84 in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (0.84)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.12, which is lower, thus worse than the value of 1.32 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.'

• Looking at the downside risk / excess return profile of 1.16 in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark GLD (1.18)
• Looking at ratio of annual return and downside deviation in of 1.56 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.86).

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.'

• Compared with the benchmark GLD (9.27 ) in the period of the last 5 years, the Downside risk index of 15 of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• Compared with GLD (8.77 ) in the period of the last 3 years, the Downside risk index of 8.43 is lower, thus better.

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 (-26.4 days) in the period of the last 5 years, the maximum reduction from previous high of -34.4 days of Gold-USD Aggressive Sub-strategy is smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -20.1 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 GLD (436 days) in the period of the last 5 years, the maximum days under water of 608 days of Gold-USD Aggressive Sub-strategy is higher, thus worse.
• Compared with GLD (170 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 170 days is larger, thus worse.

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 under water over 5 years of Gold-USD Aggressive Sub-strategy is 178 days, which is greater, thus worse compared to the benchmark GLD (105 days) in the same period.
• Compared with GLD (35 days) in the period of the last 3 years, the average time in days below previous high water mark of 43 days is higher, thus worse.