Gold-USD Low volatility 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.'

• The total return over 5 years of Gold-USD Low volatility Sub-strategy is 103.8%, which is lower, thus worse compared to the benchmark GLD (124%) in the same period.
• Compared with GLD (117.6%) in the period of the last 3 years, the total return of 55.2% 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.'

• Looking at the compounded annual growth rate (CAGR) of 15.4% in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (17.6%)
• Compared with GLD (29.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 15.9% is lower, thus worse.

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 30 days standard deviation over 5 years of Gold-USD Low volatility Sub-strategy is 10.1%, which is lower, thus better compared to the benchmark GLD (18.1%) in the same period.
• During the last 3 years, the historical 30 days volatility is 10.4%, which is smaller, thus better than the value of 20% from the benchmark.

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.'

• The downside risk over 5 years of Gold-USD Low volatility Sub-strategy is 6.7%, which is smaller, thus better compared to the benchmark GLD (12.8%) in the same period.
• Looking at downside volatility in of 6.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (14.2%).

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.'

• The risk / return profile (Sharpe) over 5 years of Gold-USD Low volatility Sub-strategy is 1.27, which is greater, thus better compared to the benchmark GLD (0.83) in the same period.
• Looking at risk / return profile (Sharpe) in of 1.29 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (1.36).

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 Low volatility Sub-strategy is 1.92, which is larger, thus better compared to the benchmark GLD (1.18) in the same period.
• Looking at downside risk / excess return profile in of 1.93 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (1.93).

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 (7.68 ) in the period of the last 5 years, the Ulcer Ratio of 3.78 of Gold-USD Low volatility Sub-strategy is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 4.28 , which is smaller, thus better than the value of 5.22 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.'

• Looking at the maximum reduction from previous high of -11.5 days 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 (-21 days)
• Looking at maximum drop from peak to valley in of -11.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (-20.1 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 (436 days) in the period of the last 5 years, the maximum days under water of 171 days of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Compared with GLD (89 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 158 days is larger, thus worse.

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 (107 days) in the period of the last 5 years, the average days below previous high of 46 days of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Looking at average days under water in of 46 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (22 days).