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.'

• The total return, or increase in value over 5 years of Gold-USD Low volatility Sub-strategy is 106.6%, which is higher, thus better compared to the benchmark GLD (82.5%) in the same period.
• During the last 3 years, the total return, or increase in value is 64.5%, which is lower, thus worse than the value of 109% 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.'

• Looking at the annual performance (CAGR) of 15.7% 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 (12.8%)
• Compared with GLD (28.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 18.2% is smaller, 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 (15.1%) in the period of the last 5 years, the volatility of 9.2% of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• Looking at volatility in of 9.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (15.5%).

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 5.9%, which is lower, thus better compared to the benchmark GLD (10.4%) in the same period.
• Looking at downside deviation in of 6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (10%).

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 (0.69) in the period of the last 5 years, the Sharpe Ratio of 1.44 of Gold-USD Low volatility Sub-strategy is higher, thus better.
• Looking at Sharpe Ratio in of 1.65 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (1.65).

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.'

• Compared with the benchmark GLD (1) in the period of the last 5 years, the ratio of annual return and downside deviation of 2.25 of Gold-USD Low volatility Sub-strategy is larger, thus better.
• Compared with GLD (2.56) in the period of the last 3 years, the downside risk / excess return profile of 2.64 is greater, 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.'

• Compared with the benchmark GLD (7.78 ) in the period of the last 5 years, the Ulcer Index of 2.62 of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Compared with GLD (3.64 ) in the period of the last 3 years, the Ulcer Index of 2.34 is lower, thus better.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark GLD (-21 days) in the period of the last 5 years, the maximum reduction from previous high of -7.6 days of Gold-USD Low volatility Sub-strategy is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -5.8 days, which is higher, thus better than the value of -11.3 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'

• Compared with the benchmark GLD (436 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 171 days of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• Compared with GLD (145 days) in the period of the last 3 years, the maximum days under water of 125 days is lower, thus better.

AveDuration:

'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.'

• Compared with the benchmark GLD (144 days) in the period of the last 5 years, the average time in days below previous high water mark of 41 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 31 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (28 days).