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 of 87.7% in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (63.6%)
• Looking at total return, or performance in of 28.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (29.5%).

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 13.4% 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 (10.4%)
• Compared with GLD (9%) in the period of the last 3 years, the annual performance (CAGR) of 8.6% is smaller, thus worse.

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 18.1% 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 (15.3%)
• During the last 3 years, the 30 days standard deviation is 18.4%, which is greater, thus worse than the value of 14.2% 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.'

• Compared with the benchmark GLD (10.8%) in the period of the last 5 years, the downside risk of 12.9% of Gold-USD Aggressive Sub-strategy is larger, thus worse.
• Looking at downside volatility in of 13.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (9.7%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.61 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 (0.52)
• During the last 3 years, the risk / return profile (Sharpe) is 0.33, which is lower, thus worse than the value of 0.46 from the benchmark.

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.'

• Looking at the ratio of annual return and downside deviation of 0.85 in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (0.73)
• Looking at ratio of annual return and downside deviation in of 0.45 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (0.67).

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 higher, thus worse in comparison to the benchmark GLD (9.79 )
• During the last 3 years, the Downside risk index is 18 , which is higher, thus worse than the value of 8.27 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.'

• 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 smaller, thus worse.
• During the last 3 years, the maximum DrawDown is -34.4 days, which is lower, thus worse than the value of -21 days from the benchmark.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark GLD (897 days) in the period of the last 5 years, the maximum days under water of 441 days of Gold-USD Aggressive Sub-strategy is smaller, thus better.
• Looking at maximum days below previous high in of 441 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (436 days).

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 (346 days) in the period of the last 5 years, the average days under water of 157 days of Gold-USD Aggressive Sub-strategy is smaller, thus better.
• Looking at average days under water in of 145 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (142 days).