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 83%, which is lower, thus worse compared to the benchmark GLD (83.9%) in the same period.
• Looking at total return in of 34% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (82.5%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the compounded annual growth rate (CAGR) of 12.9% 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%)
• Looking at annual performance (CAGR) in of 10.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (22.3%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark GLD (15.4%) in the period of the last 5 years, the 30 days standard deviation of 17.8% of Gold-USD Aggressive Sub-strategy is higher, thus worse.
• During the last 3 years, the 30 days standard deviation is 18.7%, which is higher, thus worse than the value of 15.5% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of Gold-USD Aggressive Sub-strategy is 12.9%, which is higher, thus worse compared to the benchmark GLD (10.7%) in the same period.
• Compared with GLD (10.1%) in the period of the last 3 years, the downside deviation of 13.8% is larger, thus worse.

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.'

• The risk / return profile (Sharpe) over 5 years of Gold-USD Aggressive Sub-strategy is 0.58, which is lower, thus worse compared to the benchmark GLD (0.68) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.42, which is lower, thus worse than the value of 1.28 from the benchmark.

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 0.81 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 (0.98)
• Compared with GLD (1.96) in the period of the last 3 years, the downside risk / excess return profile of 0.57 is smaller, 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.'

• Looking at the Ulcer Ratio of 15 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 (9.77 )
• During the last 3 years, the Ulcer Ratio is 19 , which is greater, thus worse than the value of 4.09 from the benchmark.

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 (-22 days) in the period of the last 5 years, the maximum DrawDown of -34.4 days of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• Compared with GLD (-11.3 days) in the period of the last 3 years, the maximum reduction from previous high of -34.4 days is smaller, 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.'

• Looking at the maximum days under water 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 time in days below previous high water mark of 608 days is larger, thus worse.

AveDuration:

'The Average 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. 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 (347 days) in the period of the last 5 years, the average days below previous high of 224 days of Gold-USD Aggressive Sub-strategy is smaller, thus better.
• Looking at average days under water in of 260 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (34 days).