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 (154%) in the period of the last 5 years, the total return, or increase in value of 105.2% of Gold-USD Low volatility Sub-strategy is lower, thus worse.
• Looking at total return in of 55.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (131.7%).

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.'

• Compared with the benchmark GLD (20.6%) in the period of the last 5 years, the annual return (CAGR) of 15.5% of Gold-USD Low volatility Sub-strategy is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 16%, which is lower, thus worse than the value of 32.6% 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.'

• Compared with the benchmark GLD (17.9%) in the period of the last 5 years, the historical 30 days volatility of 10.1% of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• Compared with GLD (19.9%) in the period of the last 3 years, the volatility of 10.5% is lower, thus better.

DownVol:

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

• The downside risk over 5 years of Gold-USD Low volatility Sub-strategy is 6.7%, which is lower, thus better compared to the benchmark GLD (12.6%) in the same period.
• Looking at downside risk in of 7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (14%).

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.'

• The risk / return profile (Sharpe) over 5 years of Gold-USD Low volatility Sub-strategy is 1.29, which is larger, thus better compared to the benchmark GLD (1.01) in the same period.
• Compared with GLD (1.51) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.29 is lower, thus worse.

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.'

• The downside risk / excess return profile over 5 years of Gold-USD Low volatility Sub-strategy is 1.94, which is larger, thus better compared to the benchmark GLD (1.44) in the same period.
• Compared with GLD (2.16) in the period of the last 3 years, the excess return divided by the downside deviation of 1.93 is lower, 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.'

• The Downside risk index over 5 years of Gold-USD Low volatility Sub-strategy is 3.61 , which is lower, thus better compared to the benchmark GLD (7.47 ) in the same period.
• Compared with GLD (4.76 ) in the period of the last 3 years, the Ulcer Ratio of 4.06 is lower, thus better.

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 -11.5 days 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 (-21 days)
• Compared with GLD (-19.2 days) in the period of the last 3 years, the maximum reduction from previous high of -11.5 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) in days.'

• Looking at the maximum time in days below previous high water mark of 171 days 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 (436 days)
• Compared with GLD (135 days) in the period of the last 3 years, the maximum days below previous high of 140 days is greater, thus worse.

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 (108 days) in the period of the last 5 years, the average days under water of 44 days of Gold-USD Low volatility Sub-strategy is lower, thus better.
• During the last 3 years, the average days under water is 44 days, which is larger, thus worse than the value of 30 days from the benchmark.