Description

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

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return of 34.2% in the last 5 years of Low volatility Gold-USD sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (26.3%)
  • Looking at total return, or performance in of 26.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (27.6%).

CAGR:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark GLD (4.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 6.1% of Low volatility Gold-USD sub-strategy is greater, thus better.
  • Compared with GLD (8.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.1% is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark GLD (12.3%) in the period of the last 5 years, the 30 days standard deviation of 7.4% of Low volatility Gold-USD sub-strategy is smaller, thus better.
  • Looking at volatility in of 5.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (10.4%).

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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of Low volatility Gold-USD sub-strategy is 4.8%, which is smaller, thus better compared to the benchmark GLD (8.4%) in the same period.
  • Compared with GLD (7%) in the period of the last 3 years, the downside volatility of 3.4% is smaller, thus better.

Sharpe:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark GLD (0.19) in the period of the last 5 years, the Sharpe Ratio of 0.49 of Low volatility Gold-USD sub-strategy is higher, thus better.
  • Looking at risk / return profile (Sharpe) in of 1.1 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (0.57).

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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of Low volatility Gold-USD sub-strategy is 0.74, which is greater, thus better compared to the benchmark GLD (0.27) in the same period.
  • Looking at excess return divided by the downside deviation in of 1.67 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (0.85).

Ulcer:

'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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 3.56 in the last 5 years of Low volatility Gold-USD sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (7.5 )
  • During the last 3 years, the Downside risk index is 2.12 , which is lower, thus better than the value of 5.54 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Low volatility Gold-USD sub-strategy is -13.9 days, which is greater, thus better compared to the benchmark GLD (-17.8 days) in the same period.
  • Compared with GLD (-13.8 days) in the period of the last 3 years, the maximum DrawDown of -6.6 days is larger, thus better.

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) in days.'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of Low volatility Gold-USD sub-strategy is 282 days, which is smaller, thus better compared to the benchmark GLD (741 days) in the same period.
  • During the last 3 years, the maximum time in days below previous high water mark 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.'

Applying this definition to our asset in some examples:
  • The average days under water over 5 years of Low volatility Gold-USD sub-strategy is 83 days, which is smaller, thus better compared to the benchmark GLD (254 days) in the same period.
  • Looking at average days below previous high in of 38 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (102 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Low volatility Gold-USD 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.