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 over 5 years of Gold-USD Aggressive Sub-strategy is 105.4%, which is larger, thus better compared to the benchmark GLD (79.1%) in the same period.
• Looking at total return in of 32.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (29.1%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 15.5% in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (12.4%)
• During the last 3 years, the annual return (CAGR) is 9.9%, which is greater, thus better than the value of 8.9% from the benchmark.

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.'

• Looking at the volatility of 17.9% 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 (15.1%)
• Looking at volatility in of 18% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (13.8%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (10.5%) in the period of the last 5 years, the downside volatility of 12.7% of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• Looking at downside volatility in of 13.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (9.4%).

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 0.73 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 (0.65)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.41, which is lower, thus worse than the value of 0.46 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of Gold-USD Aggressive Sub-strategy is 1.03, which is greater, thus better compared to the benchmark GLD (0.94) in the same period.
• Looking at excess return divided by the downside deviation in of 0.56 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (0.68).

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.'

• Looking at the Ulcer Ratio of 14 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 (9.77 )
• Looking at Ulcer Ratio in of 16 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (8.63 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• 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 (-22 days)
• During the last 3 years, the maximum reduction from previous high is -34.4 days, which is lower, thus worse than the value of -21 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.'

• The maximum days below previous high over 5 years of Gold-USD Aggressive Sub-strategy is 396 days, which is smaller, thus better compared to the benchmark GLD (897 days) in the same period.
• Compared with GLD (436 days) in the period of the last 3 years, the maximum days under water of 376 days is smaller, thus better.

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 (349 days) in the period of the last 5 years, the average days under water of 136 days of Gold-USD Aggressive Sub-strategy is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 111 days, which is lower, thus better than the value of 160 days from the benchmark.