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.'

• Looking at the total return, or performance of 107.8% in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (108.9%)
• Compared with GLD (142.3%) in the period of the last 3 years, the total return, or increase in value of 33.3% 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.'

• The annual return (CAGR) over 5 years of Gold-USD Aggressive Sub-strategy is 15.8%, which is lower, thus worse compared to the benchmark GLD (15.9%) in the same period.
• Compared with GLD (34.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 10.1% is smaller, 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.'

• Compared with the benchmark GLD (15.6%) in the period of the last 5 years, the historical 30 days volatility of 17.9% of Gold-USD Aggressive Sub-strategy is larger, thus worse.
• During the last 3 years, the historical 30 days volatility is 18.5%, which is larger, thus worse than the value of 16.2% from the benchmark.

DownVol:

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

• Compared with the benchmark GLD (10.8%) in the period of the last 5 years, the downside volatility of 12.9% of Gold-USD Aggressive Sub-strategy is higher, thus worse.
• During the last 3 years, the downside risk is 13.7%, which is higher, thus worse than the value of 10.6% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The risk / return profile (Sharpe) over 5 years of Gold-USD Aggressive Sub-strategy is 0.74, which is smaller, thus worse compared to the benchmark GLD (0.86) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.41 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (1.97).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of 1.03 in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (1.25)
• During the last 3 years, the excess return divided by the downside deviation is 0.55, which is smaller, thus worse than the value of 3.01 from the benchmark.

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.'

• Looking at the Ulcer Index of 15 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 (7.69 )
• Looking at Ulcer Index in of 17 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (3.63 ).

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.'

• Looking at the maximum reduction from previous high of -34.4 days 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 (-21 days)
• Looking at maximum DrawDown in of -33.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (-11.3 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days under water of 608 days 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 (436 days)
• Looking at maximum days below previous high in of 593 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (145 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.'

• Compared with the benchmark GLD (135 days) in the period of the last 5 years, the average days below previous high of 186 days of Gold-USD Aggressive Sub-strategy is larger, thus worse.
• Compared with GLD (28 days) in the period of the last 3 years, the average days below previous high of 249 days is higher, thus worse.