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.'

• The total return, or performance over 5 years of Gold-USD Aggressive Sub-strategy is 147.6%, which is smaller, thus worse compared to the benchmark GLD (162%) in the same period.
• During the last 3 years, the total return is 82.7%, which is smaller, thus worse than the value of 129.3% 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 compounded annual growth rate (CAGR) over 5 years of Gold-USD Aggressive Sub-strategy is 20%, which is smaller, thus worse compared to the benchmark GLD (21.3%) in the same period.
• Looking at annual return (CAGR) in of 22.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (32.2%).

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.'

• Looking at the volatility of 20% 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 (17.8%)
• During the last 3 years, the historical 30 days volatility is 20.2%, which is greater, thus worse than the value of 19.7% 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 (12.4%) in the period of the last 5 years, the downside volatility of 14.5% of Gold-USD Aggressive Sub-strategy is higher, thus worse.
• Compared with GLD (13.8%) in the period of the last 3 years, the downside deviation of 14.5% is larger, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.87 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 (1.06)
• Compared with GLD (1.51) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.99 is lower, thus worse.

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.'

• Compared with the benchmark GLD (1.52) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.2 of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of 1.37 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (2.15).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Downside risk index of 15 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 (7.24 )
• During the last 3 years, the Ulcer Index is 8.45 , which is higher, thus worse than the value of 4.44 from the benchmark.

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 DrawDown of -34.6 days 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 (-21 days)
• Looking at maximum drop from peak to valley in of -22.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (-19.2 days).

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 time in days below previous high water mark of 609 days 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 (436 days)
• Looking at maximum days under water in of 345 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (145 days).

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 days under water of 171 days 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 (108 days)
• Looking at average days under water in of 98 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (30 days).