Gold-USD Aggressive Sub-strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of Gold-USD Aggressive Sub-strategy is 150.6%, which is smaller, thus worse compared to the benchmark GLD (151.6%) in the same period.
• During the last 3 years, the total return, or increase in value is 83.6%, which is lower, thus worse than the value of 130.4% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of Gold-USD Aggressive Sub-strategy is 20.3%, which is lower, thus worse compared to the benchmark GLD (20.4%) in the same period.
• Compared with GLD (32.3%) in the period of the last 3 years, the annual performance (CAGR) of 22.6% is lower, thus worse.

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 20.2% 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 (17.9%)
• Compared with GLD (19.9%) in the period of the last 3 years, the historical 30 days volatility of 20.4% is greater, thus worse.

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.'

• Looking at the downside volatility of 14.6% 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 (12.6%)
• Compared with GLD (13.9%) in the period of the last 3 years, the downside risk of 14.7% is larger, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the ratio of return and volatility (Sharpe) of 0.88 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)
• During the last 3 years, the Sharpe Ratio is 0.99, which is lower, thus worse than the value of 1.5 from the benchmark.

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.'

• Compared with the benchmark GLD (1.42) in the period of the last 5 years, the downside risk / excess return profile of 1.21 of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• Looking at excess return divided by the downside deviation in of 1.37 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (2.14).

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 GLD (7.48 ) in the period of the last 5 years, the Ulcer Ratio of 15 of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• Compared with GLD (4.78 ) in the period of the last 3 years, the Ulcer Index of 8.05 is larger, 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 (-21 days) in the period of the last 5 years, the maximum drop from peak to valley of -34.6 days of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• Looking at maximum reduction from previous high in of -21.5 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (-19.2 days).

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 GLD (436 days) in the period of the last 5 years, the maximum days below previous high of 609 days of Gold-USD Aggressive Sub-strategy is larger, thus worse.
• During the last 3 years, the maximum days below previous high is 333 days, which is larger, thus worse than the value of 135 days from the benchmark.

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 (108 days) in the period of the last 5 years, the average days below previous high of 171 days of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• Looking at average time in days below previous high water mark in of 94 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (30 days).