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.'

• Compared with the benchmark GLD (78.2%) in the period of the last 5 years, the total return, or increase in value of 104.3% of Gold-USD Aggressive Sub-strategy is greater, thus better.
• Compared with GLD (29%) in the period of the last 3 years, the total return, or performance of 32.2% is larger, thus better.

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.'

• Compared with the benchmark GLD (12.3%) in the period of the last 5 years, the annual performance (CAGR) of 15.4% of Gold-USD Aggressive Sub-strategy is larger, thus better.
• Compared with GLD (8.9%) in the period of the last 3 years, the annual return (CAGR) of 9.8% is higher, thus better.

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.'

• The volatility over 5 years of Gold-USD Aggressive Sub-strategy is 17.9%, which is higher, thus worse compared to the benchmark GLD (15.1%) in the same period.
• During the last 3 years, the historical 30 days volatility is 18%, which is greater, thus worse than the value of 13.8% from the benchmark.

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 (10.5%) in the period of the last 5 years, the downside deviation of 12.7% of Gold-USD Aggressive Sub-strategy is larger, thus worse.
• Looking at downside risk in of 13.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (9.4%).

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.'

• Compared with the benchmark GLD (0.65) in the period of the last 5 years, the Sharpe Ratio of 0.72 of Gold-USD Aggressive Sub-strategy is greater, thus better.
• Compared with GLD (0.46) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.4 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 (0.93) in the period of the last 5 years, the excess return divided by the downside deviation of 1.02 of Gold-USD Aggressive Sub-strategy is larger, thus better.
• Looking at excess return divided by the downside deviation in of 0.55 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (0.68).

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.'

• Compared with the benchmark GLD (9.77 ) in the period of the last 5 years, the Downside risk index of 14 of Gold-USD Aggressive Sub-strategy is greater, thus worse.
• Looking at Downside risk index in of 16 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (8.63 ).

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 drop from peak to valley of -34.4 days of Gold-USD Aggressive Sub-strategy is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -34.4 days, which is lower, thus worse than the value of -21 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days under water of 396 days in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (897 days)
• During the last 3 years, the maximum days below previous high is 378 days, which is lower, thus better than the value of 436 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.'

• The average days under water over 5 years of Gold-USD Aggressive Sub-strategy is 137 days, which is lower, thus better compared to the benchmark GLD (349 days) in the same period.
• Looking at average days under water in of 112 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (160 days).