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 145.4%, which is larger, thus better compared to the benchmark GLD (120.8%) in the same period.
• Compared with GLD (114.7%) in the period of the last 3 years, the total return, or increase in value of 85.1% is smaller, thus worse.

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 annual return (CAGR) over 5 years of Gold-USD Aggressive Sub-strategy is 19.8%, which is higher, thus better compared to the benchmark GLD (17.2%) in the same period.
• Looking at annual return (CAGR) in of 22.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (29.2%).

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 (18.1%) in the period of the last 5 years, the historical 30 days volatility of 20.2% of Gold-USD Aggressive Sub-strategy is larger, thus worse.
• Compared with GLD (20.1%) in the period of the last 3 years, the 30 days standard deviation of 20.4% is greater, thus worse.

DownVol:

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

• The downside risk over 5 years of Gold-USD Aggressive Sub-strategy is 14.7%, which is larger, thus worse compared to the benchmark GLD (12.8%) in the same period.
• Compared with GLD (14.2%) in the period of the last 3 years, the downside risk of 14.7% is greater, 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 risk / return profile (Sharpe) 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 (0.82)
• During the last 3 years, the Sharpe Ratio is 1, which is lower, thus worse than the value of 1.33 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the excess return divided by the downside deviation of 1.18 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 (1.15)
• Compared with GLD (1.88) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.39 is lower, 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.'

• Compared with the benchmark GLD (7.71 ) in the period of the last 5 years, the Downside risk index of 15 of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• Looking at Downside risk index in of 7.7 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (5.28 ).

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 (-21.2 days) in the period of the last 5 years, the maximum reduction from previous high of -34.6 days of Gold-USD Aggressive Sub-strategy is lower, thus worse.
• Compared with GLD (-21.2 days) in the period of the last 3 years, the maximum reduction from previous high of -20 days is larger, thus better.

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 higher, thus worse in comparison to the benchmark GLD (436 days)
• Looking at maximum time in days below previous high water mark in of 271 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (90 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.'

• The average days below previous high over 5 years of Gold-USD Aggressive Sub-strategy is 173 days, which is greater, thus worse compared to the benchmark GLD (107 days) in the same period.
• During the last 3 years, the average days under water is 69 days, which is larger, thus worse than the value of 23 days from the benchmark.