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.'

• Looking at the total return of 115.8% in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (164.5%)
• Compared with GLD (160.4%) in the period of the last 3 years, the total return, or increase in value of 61% is smaller, thus worse.

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 (21.6%) in the period of the last 5 years, the annual performance (CAGR) of 16.7% of Gold-USD Low volatility Sub-strategy is lower, thus worse.
• Looking at annual performance (CAGR) in of 17.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (37.7%).

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.'

• The 30 days standard deviation over 5 years of Gold-USD Low volatility Sub-strategy is 9.7%, which is lower, thus better compared to the benchmark GLD (17%) in the same period.
• During the last 3 years, the historical 30 days volatility is 10%, which is lower, thus better than the value of 18.5% from the benchmark.

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.'

• Looking at the downside risk of 6.4% 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 (11.8%)
• Looking at downside volatility in of 6.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (12.7%).

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.'

• Compared with the benchmark GLD (1.12) in the period of the last 5 years, the Sharpe Ratio of 1.46 of Gold-USD Low volatility Sub-strategy is higher, thus better.
• Compared with GLD (1.9) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.47 is lower, thus worse.

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 (1.62) in the period of the last 5 years, the ratio of annual return and downside deviation of 2.24 of Gold-USD Low volatility Sub-strategy is higher, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 2.25, which is smaller, thus worse than the value of 2.77 from the benchmark.

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 Ulcer Index over 5 years of Gold-USD Low volatility Sub-strategy is 2.95 , which is lower, thus better compared to the benchmark GLD (7.08 ) in the same period.
• Looking at Ulcer Ratio in of 3.03 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (3.83 ).

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 DrawDown of -10 days of Gold-USD Low volatility Sub-strategy is higher, thus better.
• Looking at maximum drop from peak to valley in of -10 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (-13.9 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) in days.'

• 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 smaller, thus better compared to the benchmark GLD (436 days) in the same period.
• During the last 3 years, the maximum days under water is 125 days, which is smaller, thus better than the value of 145 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.'

• Looking at the average days below previous high of 38 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 (108 days)
• Looking at average days below previous high in of 34 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (29 days).