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.'

• The total return, or increase in value over 5 years of Gold-USD Aggressive Sub-strategy is 136.4%, which is higher, thus better compared to the benchmark GLD (40.5%) in the same period.
• During the last 3 years, the total return, or increase in value is 93.5%, which is larger, thus better than the value of 21% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of Gold-USD Aggressive Sub-strategy is 18.8%, which is larger, thus better compared to the benchmark GLD (7%) in the same period.
• Looking at annual return (CAGR) in of 24.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (6.5%).

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 historical 30 days volatility of 17.1% 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 (14.3%)
• During the last 3 years, the historical 30 days volatility is 19.3%, which is larger, thus worse than the value of 16.2% 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 deviation of 11.6% 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 (10.2%)
• Looking at downside deviation in of 13.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (11.7%).

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.'

• The risk / return profile (Sharpe) over 5 years of Gold-USD Aggressive Sub-strategy is 0.96, which is higher, thus better compared to the benchmark GLD (0.32) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.14 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (0.25).

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 ratio of annual return and downside deviation of 1.41 in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (0.45)
• Looking at ratio of annual return and downside deviation in of 1.67 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (0.35).

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 Downside risk index over 5 years of Gold-USD Aggressive Sub-strategy is 6.44 , which is smaller, thus better compared to the benchmark GLD (9.81 ) in the same period.
• Compared with GLD (12 ) in the period of the last 3 years, the Ulcer Index of 7.73 is lower, thus better.

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.'

• Looking at the maximum DrawDown of -20.5 days in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (-22 days)
• During the last 3 years, the maximum DrawDown is -20.5 days, which is greater, thus better than the value of -22 days from the benchmark.

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.'

• The maximum days under water over 5 years of Gold-USD Aggressive Sub-strategy is 396 days, which is lower, thus better compared to the benchmark GLD (590 days) in the same period.
• During the last 3 years, the maximum days under water is 396 days, which is smaller, thus better than the value of 590 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.'

• Looking at the average time in days below previous high water mark of 92 days 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 (204 days)
• During the last 3 years, the average time in days below previous high water mark is 124 days, which is lower, thus better than the value of 250 days from the benchmark.