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 (85.4%) in the period of the last 5 years, the total return of 112.6% of Gold-USD Aggressive Sub-strategy is larger, thus better.
• Looking at total return, or performance in of 34.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (28%).

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.'

• Compared with the benchmark GLD (13.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 16.3% of Gold-USD Aggressive Sub-strategy is larger, thus better.
• During the last 3 years, the annual return (CAGR) is 10.4%, which is greater, thus better than the value of 8.6% 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.'

• The volatility over 5 years of Gold-USD Aggressive Sub-strategy is 18%, which is larger, thus worse compared to the benchmark GLD (15.2%) in the same period.
• Compared with GLD (13.9%) in the period of the last 3 years, the volatility of 18% is greater, thus worse.

DownVol:

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

• Compared with the benchmark GLD (10.6%) in the period of the last 5 years, the downside deviation of 12.7% of Gold-USD Aggressive Sub-strategy is larger, thus worse.
• Compared with GLD (9.5%) in the period of the last 3 years, the downside deviation of 13.3% is higher, 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 ratio of return and volatility (Sharpe) of 0.77 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 (0.7)
• During the last 3 years, the risk / return profile (Sharpe) is 0.44, which is higher, thus better than the value of 0.44 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The excess return divided by the downside deviation over 5 years of Gold-USD Aggressive Sub-strategy is 1.09, which is higher, thus better compared to the benchmark GLD (1.01) in the same period.
• Compared with GLD (0.64) in the period of the last 3 years, the excess return divided by the downside deviation of 0.59 is lower, thus worse.

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.'

• The Ulcer Ratio over 5 years of Gold-USD Aggressive Sub-strategy is 14 , which is higher, thus worse compared to the benchmark GLD (9.77 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 17 , which is greater, thus worse than the value of 8.63 from the benchmark.

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 lower, thus worse.
• During the last 3 years, the maximum DrawDown 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'

• 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 lower, thus better in comparison to the benchmark GLD (897 days)
• During the last 3 years, the maximum time in days below previous high water mark is 395 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.'

• Compared with the benchmark GLD (349 days) in the period of the last 5 years, the average time in days below previous high water mark of 142 days of Gold-USD Aggressive Sub-strategy is lower, thus better.
• Compared with GLD (158 days) in the period of the last 3 years, the average days under water of 120 days is smaller, thus better.