Low volatility Gold-USD 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 (-3.3%) in the period of the last 5 years, the total return, or increase in value of 38.1% of Low volatility Gold-USD sub-strategy is larger, thus better.
• Looking at total return, or performance in of 15.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (3.2%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Low volatility Gold-USD sub-strategy is 6.7%, which is larger, thus better compared to the benchmark GLD (-0.7%) in the same period.
• Compared with GLD (1.1%) in the period of the last 3 years, the annual return (CAGR) of 5% is higher, thus better.

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 30 days standard deviation of 8.1% 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 (13%)
• During the last 3 years, the volatility is 6.7%, which is lower, thus better than the value of 11.4% 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.'

• Looking at the downside volatility of 7.8% 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 (12.7%)
• Looking at downside risk in of 6.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (11.6%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.52 in the last 5 years of Low volatility Gold-USD sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (-0.24)
• Looking at Sharpe Ratio in of 0.38 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (-0.13).

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.'

• Looking at the ratio of annual return and downside deviation of 0.53 in the last 5 years of Low volatility Gold-USD sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (-0.25)
• Compared with GLD (-0.12) in the period of the last 3 years, the excess return divided by the downside deviation of 0.39 is greater, thus better.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Downside risk index of 3.65 in the last 5 years of Low volatility Gold-USD sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (9.94 )
• Compared with GLD (8.13 ) in the period of the last 3 years, the Ulcer Index of 2.52 is lower, thus worse.

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 -13.9 days 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 (-22 days)
• Looking at maximum DrawDown in of -6.6 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (-17.8 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 days below previous high over 5 years of Low volatility Gold-USD sub-strategy is 282 days, which is lower, thus better compared to the benchmark GLD (679 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 282 days, which is lower, thus better than the value of 679 days from the benchmark.

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 (286 days) in the period of the last 5 years, the average days below previous high of 83 days of Low volatility Gold-USD sub-strategy is smaller, thus better.
• Compared with GLD (311 days) in the period of the last 3 years, the average days below previous high of 81 days is smaller, thus better.