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, or performance of 99.3% in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark GLD (131.6%)
• Looking at total return, or increase in value in of 58.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (125.3%).

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 (18.4%) in the period of the last 5 years, the annual return (CAGR) of 14.9% of Gold-USD Low volatility Sub-strategy is smaller, thus worse.
• Compared with GLD (31.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 16.7% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the volatility of 10.3% 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 (18.9%)
• During the last 3 years, the historical 30 days volatility is 10.7%, which is lower, thus better than the value of 21.6% from the benchmark.

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.'

• Compared with the benchmark GLD (13.3%) in the period of the last 5 years, the downside volatility of 7% of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Looking at downside deviation in of 7.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (15.3%).

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.'

• Looking at the Sharpe Ratio of 1.2 in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (0.84)
• Compared with GLD (1.34) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.32 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 (1.19) in the period of the last 5 years, the downside risk / excess return profile of 1.77 of Gold-USD Low volatility Sub-strategy is greater, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.92, which is greater, thus better than the value of 1.88 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 Downside risk index over 5 years of Gold-USD Low volatility Sub-strategy is 4.77 , which is lower, thus better compared to the benchmark GLD (9.32 ) in the same period.
• Looking at Ulcer Ratio in of 5.62 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (8.86 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum reduction from previous high of -15.1 days 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 (-26.4 days)
• Compared with GLD (-26.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -15.1 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.'

• Compared with the benchmark GLD (436 days) in the period of the last 5 years, the maximum days under water of 241 days of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Compared with GLD (172 days) in the period of the last 3 years, the maximum days under water of 241 days is higher, 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.'

• Looking at the average time in days below previous high water mark of 59 days 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 (106 days)
• Looking at average days below previous high in of 66 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (35 days).