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.'

• Compared with the benchmark GLD (135.1%) in the period of the last 5 years, the total return of 143.2% of Gold-USD Aggressive Sub-strategy is larger, thus better.
• Looking at total return, or increase in value in of 80% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (125.9%).

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 19.5%, which is higher, thus better compared to the benchmark GLD (18.7%) in the same period.
• Compared with GLD (31.3%) in the period of the last 3 years, the annual return (CAGR) of 21.7% 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.'

• Compared with the benchmark GLD (18%) in the period of the last 5 years, the historical 30 days volatility of 20.2% of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 20.4%, which is greater, thus worse than the value of 19.9% from the benchmark.

DownVol:

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

• Looking at the downside risk of 14.7% 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%)
• Looking at downside risk in of 14.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (14%).

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 ratio of return and volatility (Sharpe) of 0.84 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 (0.9)
• Compared with GLD (1.45) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.94 is lower, thus worse.

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 (1.28) in the period of the last 5 years, the excess return divided by the downside deviation of 1.16 of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 1.31, which is smaller, thus worse than the value of 2.06 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Ratio over 5 years of Gold-USD Aggressive Sub-strategy is 15 , which is larger, thus worse compared to the benchmark GLD (7.57 ) in the same period.
• Looking at Ulcer Ratio in of 7.47 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (4.82 ).

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.'

• 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 smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -20 days, which is lower, thus worse than the value of -19.2 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). 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'

• The maximum time in days below previous high water mark over 5 years of Gold-USD Aggressive Sub-strategy is 609 days, which is higher, thus worse compared to the benchmark GLD (436 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 303 days, which is greater, thus worse than the value of 101 days from the benchmark.

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.'

• The average time in days below previous high water mark over 5 years of Gold-USD Aggressive Sub-strategy is 172 days, which is higher, thus worse compared to the benchmark GLD (108 days) in the same period.
• During the last 3 years, the average days under water is 81 days, which is higher, thus worse than the value of 25 days from the benchmark.