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.'

• Compared with the benchmark GLD (69.4%) in the period of the last 5 years, the total return, or increase in value of 94.3% of Gold-USD Aggressive Sub-strategy is larger, thus better.
• Looking at total return, or increase in value in of 36.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (41.6%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Gold-USD Aggressive Sub-strategy is 14.2%, which is greater, thus better compared to the benchmark GLD (11.1%) in the same period.
• Compared with GLD (12.4%) in the period of the last 3 years, the annual performance (CAGR) of 11% is lower, thus worse.

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.'

• Compared with the benchmark GLD (15.5%) in the period of the last 5 years, the historical 30 days volatility of 18.3% of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• Looking at 30 days standard deviation in of 18.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (14.6%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (10.9%) in the period of the last 5 years, the downside volatility of 13% of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• Compared with GLD (9.9%) in the period of the last 3 years, the downside volatility of 13.8% is larger, thus worse.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Gold-USD Aggressive Sub-strategy is 0.64, which is greater, thus better compared to the benchmark GLD (0.56) in the same period.
• Compared with GLD (0.68) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.45 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.'

• Looking at the excess return divided by the downside deviation of 0.9 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 (0.79)
• Compared with GLD (0.99) in the period of the last 3 years, the excess return divided by the downside deviation of 0.62 is lower, thus worse.

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 Ulcer Index over 5 years of Gold-USD Aggressive Sub-strategy is 15 , which is higher, thus worse compared to the benchmark GLD (9.78 ) in the same period.
• Looking at Ulcer Index in of 18 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (8.28 ).

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 reduction from previous high of -34.4 days of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• Compared with GLD (-21 days) in the period of the last 3 years, the maximum reduction from previous high of -34.4 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.'

• The maximum days below previous high over 5 years of Gold-USD Aggressive Sub-strategy is 551 days, which is lower, thus better compared to the benchmark GLD (897 days) in the same period.
• Looking at maximum days below previous high in of 551 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 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 (346 days) in the period of the last 5 years, the average days under water of 198 days of Gold-USD Aggressive Sub-strategy is lower, thus better.
• Compared with GLD (141 days) in the period of the last 3 years, the average time in days below previous high water mark of 217 days is higher, thus worse.