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 of 73.7% 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 (60.9%)
• During the last 3 years, the total return is 12.4%, which is smaller, thus worse than the value of 44.9% 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.'

• Looking at the annual performance (CAGR) of 11.7% in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (10%)
• During the last 3 years, the annual performance (CAGR) is 4%, which is lower, thus worse than the value of 13.2% from the benchmark.

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 (13.8%) in the period of the last 5 years, the 30 days standard deviation of 14% of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 13.5%, which is smaller, thus better than the value of 13.7% from the benchmark.

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.'

• Looking at the downside risk of 9.5% 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 (9.5%)
• Looking at downside deviation in of 9.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (9.5%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.66 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 (0.54)
• Compared with GLD (0.78) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.11 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark GLD (0.79) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.96 of Gold-USD Aggressive Sub-strategy is higher, thus better.
• Looking at excess return divided by the downside deviation in of 0.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.12).

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 7.42 , which is larger, thus worse compared to the benchmark GLD (7.03 ) in the same period.
• During the last 3 years, the Downside risk index is 9.19 , which is higher, thus worse than the value of 5.5 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of Gold-USD Aggressive Sub-strategy is -18.9 days, which is smaller, thus worse compared to the benchmark GLD (-17.8 days) in the same period.
• Compared with GLD (-13.8 days) in the period of the last 3 years, the maximum reduction from previous high of -18.9 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.'

• Compared with the benchmark GLD (741 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 551 days of Gold-USD Aggressive Sub-strategy is lower, thus better.
• During the last 3 years, the maximum days below previous high is 551 days, which is higher, thus worse than the value of 352 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.'

• Compared with the benchmark GLD (241 days) in the period of the last 5 years, the average days under water of 141 days of Gold-USD Aggressive Sub-strategy is lower, thus better.
• Compared with GLD (101 days) in the period of the last 3 years, the average time in days below previous high water mark of 214 days is greater, thus worse.