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 199.8% 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 (201.7%)
• Compared with GLD (187.1%) in the period of the last 3 years, the total return, or increase in value of 128.8% 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.'

• Compared with the benchmark GLD (24.8%) in the period of the last 5 years, the annual performance (CAGR) of 24.7% of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• Compared with GLD (42.5%) in the period of the last 3 years, the annual performance (CAGR) of 32% 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 30 days standard deviation of 19.4% 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 (17.1%)
• Compared with GLD (18.8%) in the period of the last 3 years, the historical 30 days volatility of 19.4% is larger, 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.'

• The downside deviation over 5 years of Gold-USD Aggressive Sub-strategy is 13.9%, which is larger, thus worse compared to the benchmark GLD (11.8%) in the same period.
• Looking at downside volatility in of 13.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (12.9%).

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.'

• Looking at the risk / return profile (Sharpe) of 1.14 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 (1.3)
• Compared with GLD (2.12) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.52 is smaller, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of 1.59 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 (1.89)
• During the last 3 years, the ratio of annual return and downside deviation is 2.17, which is smaller, thus worse than the value of 3.11 from the benchmark.

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 (7.05 ) in the period of the last 5 years, the Ulcer Index of 15 of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• Compared with GLD (3.89 ) in the period of the last 3 years, the Downside risk index of 8.17 is higher, 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 reduction from previous high of -34.6 days of Gold-USD Aggressive Sub-strategy is smaller, thus worse.
• Compared with GLD (-13.9 days) in the period of the last 3 years, the maximum reduction from previous high of -22.8 days is lower, thus worse.

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 under water over 5 years of Gold-USD Aggressive Sub-strategy is 609 days, which is larger, thus worse compared to the benchmark GLD (436 days) in the same period.
• Looking at maximum days under water in of 345 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (145 days).

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 172 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 (107 days)
• Compared with GLD (29 days) in the period of the last 3 years, the average days below previous high of 98 days is greater, thus worse.