Gold-USD Low volatility Sub-strategy

TotalReturn:

'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.'

• Compared with the benchmark GLD (60.9%) in the period of the last 5 years, the total return, or performance of 36.2% of Gold-USD Low volatility Sub-strategy is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is 23.6%, which is smaller, thus worse than the value of 44.9% from the benchmark.

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.'

• The annual return (CAGR) over 5 years of Gold-USD Low volatility Sub-strategy is 6.4%, which is smaller, thus worse compared to the benchmark GLD (10%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 7.3%, which is lower, thus worse than the value of 13.2% 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.'

• The 30 days standard deviation over 5 years of Gold-USD Low volatility Sub-strategy is 7.9%, which is lower, thus better compared to the benchmark GLD (13.8%) in the same period.
• During the last 3 years, the 30 days standard deviation is 7.4%, which is lower, thus better than the value of 13.7% from the benchmark.

DownVol:

'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.'

• Compared with the benchmark GLD (9.5%) in the period of the last 5 years, the downside deviation of 5.2% of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Looking at downside volatility in of 5.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (9.5%).

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.'

• Compared with the benchmark GLD (0.54) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.49 of Gold-USD Low volatility Sub-strategy is smaller, thus worse.
• Compared with GLD (0.78) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.65 is smaller, thus worse.

Sortino:

'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.'

• The downside risk / excess return profile over 5 years of Gold-USD Low volatility Sub-strategy is 0.74, which is smaller, thus worse compared to the benchmark GLD (0.79) in the same period.
• Compared with GLD (1.12) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.92 is lower, thus worse.

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 Ratio of 3.06 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 (7.03 )
• Looking at Downside risk index in of 2.63 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (5.5 ).

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.'

• The maximum reduction from previous high over 5 years of Gold-USD Low volatility Sub-strategy is -11.7 days, which is greater, thus better compared to the benchmark GLD (-17.8 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -8.4 days, which is larger, thus better than the value of -13.8 days from the benchmark.

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). 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'

• The maximum time in days below previous high water mark over 5 years of Gold-USD Low volatility Sub-strategy is 282 days, which is lower, thus better compared to the benchmark GLD (741 days) in the same period.
• During the last 3 years, the maximum days under water is 131 days, which is lower, thus better than the value of 352 days from the benchmark.

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 (241 days) in the period of the last 5 years, the average time in days below previous high water mark of 61 days of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• Compared with GLD (101 days) in the period of the last 3 years, the average days under water of 38 days is smaller, thus better.