Gold-USD Low volatility Sub-strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark GLD (134.2%) in the period of the last 5 years, the total return, or increase in value of 98% of Gold-USD Low volatility Sub-strategy is lower, thus worse.
• Looking at total return in of 57.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (122.5%).

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.'

• The annual performance (CAGR) over 5 years of Gold-USD Low volatility Sub-strategy is 14.7%, which is lower, thus worse compared to the benchmark GLD (18.6%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 16.3%, which is lower, thus worse than the value of 30.7% 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 (18.9%) in the period of the last 5 years, the volatility of 10.3% of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Compared with GLD (21.5%) in the period of the last 3 years, the 30 days standard deviation of 10.7% is lower, thus better.

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.'

• Compared with the benchmark GLD (13.4%) in the period of the last 5 years, the downside volatility of 7% of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• Compared with GLD (15.3%) in the period of the last 3 years, the downside deviation of 7.4% is lower, thus better.

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 Sharpe Ratio over 5 years of Gold-USD Low volatility Sub-strategy is 1.18, which is higher, thus better compared to the benchmark GLD (0.85) in the same period.
• Looking at Sharpe Ratio in of 1.29 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.31).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of Gold-USD Low volatility Sub-strategy is 1.74, which is larger, thus better compared to the benchmark GLD (1.21) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.87, which is greater, thus better than the value of 1.84 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 4.8 , which is smaller, thus better compared to the benchmark GLD (9.39 ) in the same period.
• During the last 3 years, the Downside risk index is 5.65 , which is lower, thus better than the value of 8.98 from the benchmark.

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 (-26.4 days) in the period of the last 5 years, the maximum DrawDown of -15.1 days of Gold-USD Low volatility Sub-strategy is greater, thus better.
• Looking at maximum drop from peak to valley in of -15.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (-26.4 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days under water over 5 years of Gold-USD Low volatility Sub-strategy is 244 days, which is lower, thus better compared to the benchmark GLD (436 days) in the same period.
• During the last 3 years, the maximum days below previous high is 244 days, which is higher, thus worse than the value of 175 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.'

• The average days under water over 5 years of Gold-USD Low volatility Sub-strategy is 59 days, which is lower, thus better compared to the benchmark GLD (106 days) in the same period.
• Compared with GLD (36 days) in the period of the last 3 years, the average days under water of 66 days is higher, thus worse.