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.'

• Compared with the benchmark GLD (51%) in the period of the last 5 years, the total return of 23% of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 10.2%, which is lower, thus worse than the value of 40.5% 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.'

• Compared with the benchmark GLD (8.6%) in the period of the last 5 years, the annual return (CAGR) of 4.2% of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is 3.3%, which is smaller, thus worse than the value of 12% 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 30 days standard deviation of 12.9% in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (13.4%)
• Compared with GLD (15.3%) in the period of the last 3 years, the 30 days standard deviation of 14.1% is lower, thus better.

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.'

• The downside deviation over 5 years of Gold-USD Aggressive Sub-strategy is 9.2%, which is lower, thus better compared to the benchmark GLD (9.5%) in the same period.
• Looking at downside risk in of 10.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (11%).

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 (0.46) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.13 of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.06 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (0.62).

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.'

• Compared with the benchmark GLD (0.64) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.19 of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• Compared with GLD (0.86) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.08 is lower, thus worse.

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 Index over 5 years of Gold-USD Aggressive Sub-strategy is 8.13 , which is greater, thus worse compared to the benchmark GLD (7.93 ) in the same period.
• Looking at Downside risk index in of 7.52 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (8.82 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum drop from peak to valley over 5 years of Gold-USD Aggressive Sub-strategy is -18.9 days, which is lower, thus worse compared to the benchmark GLD (-18.8 days) in the same period.
• Looking at maximum reduction from previous high in of -15.7 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (-18.8 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 (370 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 551 days of Gold-USD Aggressive Sub-strategy is higher, thus worse.
• Compared with GLD (370 days) in the period of the last 3 years, the maximum days under water of 366 days is lower, thus better.

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 below previous high of 154 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 (121 days)
• Compared with GLD (112 days) in the period of the last 3 years, the average days below previous high of 126 days is higher, thus worse.