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.'

• Looking at the total return, or performance of 85.4% 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 (86.4%)
• During the last 3 years, the total return, or increase in value is 45.8%, which is lower, thus worse than the value of 77.4% 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.'

• Looking at the annual return (CAGR) of 13.2% 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 (13.3%)
• Compared with GLD (21.2%) in the period of the last 3 years, the annual performance (CAGR) of 13.5% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of Gold-USD Aggressive Sub-strategy is 17.7%, which is greater, thus worse compared to the benchmark GLD (15.3%) in the same period.
• During the last 3 years, the volatility is 19%, which is larger, thus worse than the value of 15.4% from the benchmark.

DownVol:

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

• Compared with the benchmark GLD (10.7%) in the period of the last 5 years, the downside deviation of 12.8% of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• During the last 3 years, the downside risk is 13.8%, which is higher, thus worse than the value of 10.1% from the benchmark.

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 (0.7) in the period of the last 5 years, the Sharpe Ratio of 0.6 of Gold-USD Aggressive Sub-strategy is smaller, thus worse.
• Looking at Sharpe Ratio in of 0.58 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.21).

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.'

• The excess return divided by the downside deviation over 5 years of Gold-USD Aggressive Sub-strategy is 0.83, which is lower, thus worse compared to the benchmark GLD (1.01) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.79, which is smaller, thus worse than the value of 1.85 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.'

• The Downside risk index over 5 years of Gold-USD Aggressive Sub-strategy is 15 , which is larger, thus worse compared to the benchmark GLD (9.77 ) in the same period.
• Looking at Ulcer Ratio in of 19 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (4.86 ).

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.'

• 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)
• Looking at maximum drop from peak to valley in of -34.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (-13.4 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum time in days below previous high water mark of 608 days in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (897 days)
• Compared with GLD (145 days) in the period of the last 3 years, the maximum days below previous high of 608 days is higher, thus worse.

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.'

• Compared with the benchmark GLD (348 days) in the period of the last 5 years, the average time in days below previous high water mark of 224 days of Gold-USD Aggressive Sub-strategy is lower, thus better.
• Looking at average days below previous high in of 261 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (40 days).