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.'

• Looking at the total return, or performance of 102.2% 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 (76.3%)
• Looking at total return in of 35.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (41.7%).

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 compounded annual growth rate (CAGR) of 15.1% 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 (12%)
• During the last 3 years, the annual performance (CAGR) is 10.6%, which is lower, thus worse than the value of 12.4% from the benchmark.

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 (15.4%) in the period of the last 5 years, the volatility of 18.2% of Gold-USD Aggressive Sub-strategy is larger, thus worse.
• Looking at historical 30 days volatility in of 18.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (14.4%).

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 deviation of 12.9% of Gold-USD Aggressive Sub-strategy is higher, thus worse.
• Looking at downside deviation in of 13.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (9.7%).

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 risk / return profile (Sharpe) over 5 years of Gold-USD Aggressive Sub-strategy is 0.7, which is larger, thus better compared to the benchmark GLD (0.62) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.43, which is smaller, thus worse than the value of 0.68 from the benchmark.

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 downside risk / excess return profile of 0.98 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 (0.88)
• Looking at downside risk / excess return profile in of 0.59 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.01).

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.'

• Compared with the benchmark GLD (9.74 ) in the period of the last 5 years, the Ulcer Index of 15 of Gold-USD Aggressive Sub-strategy is higher, thus worse.
• Compared with GLD (8.24 ) in the period of the last 3 years, the Downside risk index of 18 is larger, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of Gold-USD Aggressive Sub-strategy is -34.4 days, which is lower, thus worse compared to the benchmark GLD (-22 days) in the same period.
• 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 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 below previous high of 524 days of Gold-USD Aggressive Sub-strategy is lower, thus better.
• Looking at maximum days below previous high in of 524 days in the period of the last 3 years, we see it is relatively larger, 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.'

• The average days under water over 5 years of Gold-USD Aggressive Sub-strategy is 187 days, which is lower, thus better compared to the benchmark GLD (347 days) in the same period.
• During the last 3 years, the average days below previous high is 198 days, which is greater, thus worse than the value of 142 days from the benchmark.