This is the low volatility sub-strategy of the leveraged GLD-USD strategy.

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Applying this definition to our asset in some examples:- The total return over 5 years of Gold-USD Low volatility Sub-strategy is 73.2%, which is higher, thus better compared to the benchmark GLD (70.5%) in the same period.
- Compared with GLD (23.5%) in the period of the last 3 years, the total return of 41% is larger, thus better.

'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.'

Which means for our asset as example:- The compounded annual growth rate (CAGR) over 5 years of Gold-USD Low volatility Sub-strategy is 11.6%, which is greater, thus better compared to the benchmark GLD (11.3%) in the same period.
- During the last 3 years, the compounded annual growth rate (CAGR) is 12.1%, which is higher, thus better than the value of 7.3% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark GLD (15.3%) in the period of the last 5 years, the historical 30 days volatility of 8.5% of Gold-USD Low volatility Sub-strategy is smaller, thus better.
- Looking at volatility in of 8.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (14.1%).

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Which means for our asset as example:- Compared with the benchmark GLD (10.8%) in the period of the last 5 years, the downside risk of 5.6% of Gold-USD Low volatility Sub-strategy is smaller, thus better.
- During the last 3 years, the downside volatility is 5.3%, which is lower, thus better than the value of 9.8% from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark GLD (0.57) in the period of the last 5 years, the Sharpe Ratio of 1.08 of Gold-USD Low volatility Sub-strategy is greater, thus better.
- During the last 3 years, the Sharpe Ratio is 1.16, which is greater, thus better than the value of 0.34 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark GLD (0.81) in the period of the last 5 years, the excess return divided by the downside deviation of 1.63 of Gold-USD Low volatility Sub-strategy is higher, thus better.
- Looking at downside risk / excess return profile in of 1.81 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (0.49).

'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.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Ratio of 2.89 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 (9.78 )
- During the last 3 years, the Ulcer Ratio is 2.83 , which is lower, thus better than the value of 8.36 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark GLD (-22 days) in the period of the last 5 years, the maximum reduction from previous high of -8.3 days of Gold-USD Low volatility Sub-strategy is higher, thus better.
- During the last 3 years, the maximum drop from peak to valley is -7.4 days, which is greater, thus better than the value of -21 days from the benchmark.

'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'

Using this definition on our asset we see for example:- The maximum time in days below previous high water mark over 5 years of Gold-USD Low volatility Sub-strategy is 170 days, which is lower, thus better compared to the benchmark GLD (897 days) in the same period.
- Compared with GLD (436 days) in the period of the last 3 years, the maximum days under water of 170 days is lower, thus better.

'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.'

Which means for our asset as example:- Compared with the benchmark GLD (347 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.
- Looking at average time in days below previous high water mark in of 41 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (154 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Gold-USD Low volatility Sub-strategy are hypothetical and do not account for slippage, fees or taxes.
- Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.