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

'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.'

Which means for our asset as example:- The total return, or increase in value over 5 years of Gold-USD Low volatility Sub-strategy is 59.6%, which is higher, thus better compared to the benchmark GLD (48.2%) in the same period.
- Looking at total return in of 39.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (12.3%).

'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 annual return (CAGR) over 5 years of Gold-USD Low volatility Sub-strategy is 9.8%, which is larger, thus better compared to the benchmark GLD (8.2%) in the same period.
- During the last 3 years, the annual return (CAGR) is 11.8%, which is larger, thus better than the value of 3.9% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark GLD (14.9%) in the period of the last 5 years, the historical 30 days volatility of 8.3% of Gold-USD Low volatility Sub-strategy is lower, thus better.
- During the last 3 years, the volatility is 8%, which is lower, thus better than the value of 13.8% from the benchmark.

'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:- The downside risk over 5 years of Gold-USD Low volatility Sub-strategy is 5.5%, which is lower, thus better compared to the benchmark GLD (10.5%) in the same period.
- Looking at downside risk in of 5.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (9.6%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark GLD (0.38) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.88 of Gold-USD Low volatility Sub-strategy is higher, thus better.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 1.16, which is larger, thus better than the value of 0.1 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the ratio of annual return and downside deviation of 1.32 in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (0.54)
- Looking at downside risk / excess return profile in of 1.81 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (0.15).

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Which means for our asset as example:- 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 smaller, thus better in comparison to the benchmark GLD (9.8 )
- Looking at Downside risk index in of 2.74 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (8.69 ).

'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.'

Which means for our asset as example:- 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 larger, thus better.
- Looking at maximum drop from peak to valley in of -7.4 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (-21 days).

'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.'

Which means for our asset as example:- 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 smaller, thus better in comparison to the benchmark GLD (889 days)
- Looking at maximum time in days below previous high water mark in of 170 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (436 days).

'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.'

Using this definition on our asset we see for example:- Looking at the average days below previous high of 42 days in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (338 days)
- During the last 3 years, the average days below previous high is 43 days, which is lower, thus better than the value of 157 days from the benchmark.

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, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.