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.'

• Compared with the benchmark GLD (78.2%) in the period of the last 5 years, the total return, or increase in value of 74.1% of Gold-USD Low volatility Sub-strategy is smaller, thus worse.
• During the last 3 years, the total return is 48.9%, which is larger, thus better than the value of 29% 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.'

• Looking at the annual performance (CAGR) of 11.7% 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 (12.3%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 14.2%, which is higher, thus better than the value of 8.9% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark GLD (15.1%) in the period of the last 5 years, the historical 30 days volatility of 8.4% of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Compared with GLD (13.8%) in the period of the last 3 years, the historical 30 days volatility of 8.2% 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.'

• Looking at the downside volatility of 5.6% 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 (10.5%)
• Looking at downside deviation in of 5.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (9.4%).

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 (0.65) in the period of the last 5 years, the Sharpe Ratio of 1.1 of Gold-USD Low volatility Sub-strategy is higher, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 1.43, which is greater, thus better than the value of 0.46 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.'

• Compared with the benchmark GLD (0.93) in the period of the last 5 years, the downside risk / excess return profile of 1.66 of Gold-USD Low volatility Sub-strategy is greater, thus better.
• Compared with GLD (0.68) in the period of the last 3 years, the downside risk / excess return profile of 2.25 is larger, thus better.

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.'

• Looking at the Ulcer Index of 2.83 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 (9.77 )
• During the last 3 years, the Ulcer Index is 2.73 , which is smaller, thus better than the value of 8.63 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark GLD (-22 days) in the period of the last 5 years, the maximum drop from peak to valley of -8.3 days of Gold-USD Low volatility Sub-strategy is higher, thus better.
• Compared with GLD (-21 days) in the period of the last 3 years, the maximum reduction from previous high of -7.4 days is greater, thus better.

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.'

• Looking at the maximum days under water of 170 days 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 (897 days)
• Looking at maximum days below previous high in of 170 days in the period of the last 3 years, we see it is relatively smaller, thus better 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.'

• 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 43 days of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Compared with GLD (160 days) in the period of the last 3 years, the average time in days below previous high water mark of 45 days is lower, thus better.