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, or increase in value of 60.3% 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 (37.9%)
• Compared with GLD (29.2%) in the period of the last 3 years, the total return, or increase in value of 15.3% is lower, thus worse.

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 annual performance (CAGR) over 5 years of Gold-USD Aggressive Sub-strategy is 9.9%, which is higher, thus better compared to the benchmark GLD (6.6%) in the same period.
• Looking at annual return (CAGR) in of 4.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (8.9%).

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.'

• Looking at the 30 days standard deviation of 13.5% 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 (13.7%)
• Looking at 30 days standard deviation in of 14% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (14.7%).

DownVol:

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

• Looking at the downside risk of 9.3% in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (9.7%)
• Looking at downside deviation in of 9.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (10.5%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark GLD (0.3) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.55 of Gold-USD Aggressive Sub-strategy is greater, thus better.
• Looking at Sharpe Ratio in of 0.17 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (0.43).

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.'

• The downside risk / excess return profile over 5 years of Gold-USD Aggressive Sub-strategy is 0.8, which is greater, thus better compared to the benchmark GLD (0.43) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.24 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (0.61).

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.'

• Looking at the Ulcer Ratio of 7.48 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 (7.74 )
• Looking at Downside risk index in of 9.28 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (7.17 ).

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.'

• Looking at the maximum reduction from previous high of -18.9 days 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 (-18.8 days)
• Looking at maximum drop from peak to valley in of -18.9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (-18.8 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.'

• Compared with the benchmark GLD (741 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 551 days of Gold-USD Aggressive Sub-strategy is lower, thus better.
• During the last 3 years, the maximum days below previous high is 551 days, which is larger, thus worse than the value of 299 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 142 days, which is lower, thus better compared to the benchmark GLD (248 days) in the same period.
• Looking at average time in days below previous high water mark in of 214 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (92 days).