Gold-USD Low volatility Sub-strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark GLD (101.1%) in the period of the last 5 years, the total return, or performance of 120.9% of Gold-USD Low volatility Sub-strategy is higher, thus better.
• Looking at total return in of 74.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (136.3%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark GLD (15%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 17.2% of Gold-USD Low volatility Sub-strategy is larger, thus better.
• Compared with GLD (33.4%) in the period of the last 3 years, the annual performance (CAGR) of 20.5% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark GLD (15.6%) in the period of the last 5 years, the historical 30 days volatility of 12.4% of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• Looking at volatility in of 10.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (16.2%).

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 deviation over 5 years of Gold-USD Low volatility Sub-strategy is 8.2%, which is smaller, thus better compared to the benchmark GLD (10.8%) in the same period.
• Looking at downside volatility in of 6.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (10.7%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The Sharpe Ratio over 5 years of Gold-USD Low volatility Sub-strategy is 1.19, which is greater, thus better compared to the benchmark GLD (0.8) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.78 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (1.91).

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.'

• Looking at the ratio of annual return and downside deviation of 1.79 in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (1.16)
• Compared with GLD (2.9) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.78 is smaller, thus worse.

Ulcer:

'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.'

• Compared with the benchmark GLD (7.71 ) in the period of the last 5 years, the Ulcer Index of 2.77 of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Looking at Ulcer Index in of 2.38 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (3.7 ).

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.'

• Looking at the maximum DrawDown of -7.6 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 -6.9 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (-11.3 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). 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 171 days, which is lower, thus better compared to the benchmark GLD (436 days) in the same period.
• Looking at maximum days below previous high in of 125 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (145 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 (135 days) in the period of the last 5 years, the average time in days below previous high water mark of 39 days of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Compared with GLD (28 days) in the period of the last 3 years, the average days under water of 32 days is higher, thus worse.