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.'

• The total return over 5 years of Gold-USD Low volatility Sub-strategy is 93.5%, which is lower, thus worse compared to the benchmark GLD (118.8%) in the same period.
• Compared with GLD (103.8%) in the period of the last 3 years, the total return of 50.1% is smaller, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the compounded annual growth rate (CAGR) of 14.2% 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 (17%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 14.6%, which is lower, thus worse than the value of 26.9% 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 (18.5%) in the period of the last 5 years, the volatility of 10.3% of Gold-USD Low volatility Sub-strategy is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 10.7%, which is lower, thus better than the value of 20.7% from the benchmark.

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 7%, which is lower, thus better compared to the benchmark GLD (13.1%) in the same period.
• During the last 3 years, the downside risk is 7.4%, which is lower, thus better than the value of 14.8% from the benchmark.

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.'

• Compared with the benchmark GLD (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.13 of Gold-USD Low volatility Sub-strategy is larger, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 1.13 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (1.18).

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.'

• Compared with the benchmark GLD (1.11) in the period of the last 5 years, the downside risk / excess return profile of 1.67 of Gold-USD Low volatility Sub-strategy is greater, thus better.
• During the last 3 years, the downside risk / excess return profile is 1.64, which is smaller, thus worse than the value of 1.65 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.'

• Compared with the benchmark GLD (8.53 ) in the period of the last 5 years, the Ulcer Ratio of 4.1 of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Looking at Ulcer Index in of 4.65 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (7.44 ).

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.'

• The maximum drop from peak to valley over 5 years of Gold-USD Low volatility Sub-strategy is -14 days, which is greater, thus better compared to the benchmark GLD (-26.4 days) in the same period.
• During the last 3 years, the maximum DrawDown is -14 days, which is greater, thus better than the value of -26.4 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days below previous high of 195 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 (436 days)
• Compared with GLD (126 days) in the period of the last 3 years, the maximum days below previous high of 195 days is larger, 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 51 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 (100 days)
• Looking at average days under water in of 52 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (27 days).