Gold-USD Low volatility 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.'

• The total return, or increase in value over 5 years of Gold-USD Low volatility Sub-strategy is 55.8%, which is greater, thus better compared to the benchmark GLD (43%) in the same period.
• During the last 3 years, the total return, or performance is 42%, which is higher, thus better than the value of 27.9% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Gold-USD Low volatility Sub-strategy is 9.3%, which is higher, thus better compared to the benchmark GLD (7.4%) in the same period.
• During the last 3 years, the annual return (CAGR) is 12.4%, which is higher, thus better than the value of 8.6% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of Gold-USD Low volatility Sub-strategy is 7.7%, which is lower, thus better compared to the benchmark GLD (13.8%) in the same period.
• Compared with GLD (16%) in the period of the last 3 years, the historical 30 days volatility of 9% is lower, thus better.

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 (9.9%) in the period of the last 5 years, the downside volatility of 5.4% of Gold-USD Low volatility Sub-strategy is lower, thus better.
• During the last 3 years, the downside deviation is 6.4%, which is lower, thus better than the value of 11.6% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of Gold-USD Low volatility Sub-strategy is 0.88, which is larger, thus better compared to the benchmark GLD (0.36) in the same period.
• Compared with GLD (0.38) in the period of the last 3 years, the Sharpe Ratio of 1.1 is higher, thus better.

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 downside risk / excess return profile of 1.26 in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (0.5)
• During the last 3 years, the ratio of annual return and downside deviation is 1.55, which is larger, thus better than the value of 0.52 from the benchmark.

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 Downside risk index of 4.17 in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (8.36 )
• Looking at Ulcer Ratio in of 4.98 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (9.46 ).

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 Low volatility Sub-strategy is -12.9 days, which is higher, thus better compared to the benchmark GLD (-18.8 days) in the same period.
• Looking at maximum drop from peak to valley in of -12.9 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (-18.8 days).

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.'

• Compared with the benchmark GLD (475 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 318 days of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• During the last 3 years, the maximum days below previous high is 318 days, which is lower, thus better than the value of 475 days from the benchmark.

AveDuration:

'The Average 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. 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 (156 days) in the period of the last 5 years, the average days below previous high of 69 days of Gold-USD Low volatility Sub-strategy is lower, thus better.
• During the last 3 years, the average days under water is 87 days, which is lower, thus better than the value of 169 days from the benchmark.