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.'

• Compared with the benchmark GLD (155.6%) in the period of the last 5 years, the total return, or increase in value of 95.5% of Gold-USD Low volatility Sub-strategy is lower, thus worse.
• During the last 3 years, the total return, or performance is 52.3%, which is lower, thus worse than the value of 141% from the benchmark.

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 (20.8%) in the period of the last 5 years, the annual return (CAGR) of 14.4% of Gold-USD Low volatility Sub-strategy is smaller, thus worse.
• Compared with GLD (34.3%) in the period of the last 3 years, the annual return (CAGR) of 15.2% 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.'

• Looking at the historical 30 days volatility of 10.4% 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 (18.7%)
• Looking at 30 days standard deviation in of 10.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (21.1%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Gold-USD Low volatility Sub-strategy is 7%, which is lower, thus better compared to the benchmark GLD (13.1%) in the same period.
• Compared with GLD (14.8%) in the period of the last 3 years, the downside risk of 7.4% is lower, thus better.

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.'

• Looking at the Sharpe Ratio of 1.15 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 (0.98)
• Looking at Sharpe Ratio in of 1.18 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.51).

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 excess return divided by the downside deviation over 5 years of Gold-USD Low volatility Sub-strategy is 1.7, which is greater, thus better compared to the benchmark GLD (1.4) in the same period.
• Looking at excess return divided by the downside deviation in of 1.71 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (2.14).

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.'

• Looking at the Downside risk index of 4.37 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 (8.82 )
• During the last 3 years, the Downside risk index is 5.06 , which is smaller, thus better than the value of 7.96 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.'

• The maximum DrawDown over 5 years of Gold-USD Low volatility Sub-strategy is -14.5 days, which is higher, thus better compared to the benchmark GLD (-26.4 days) in the same period.
• Compared with GLD (-26.4 days) in the period of the last 3 years, the maximum reduction from previous high of -14.5 days is higher, 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). 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 days under water of 212 days of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 212 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (143 days).

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 (102 days) in the period of the last 5 years, the average days under water of 54 days of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Compared with GLD (29 days) in the period of the last 3 years, the average time in days below previous high water mark of 57 days is higher, thus worse.