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.'

• The total return, or increase in value over 5 years of Gold-USD Low volatility Sub-strategy is 92%, which is lower, thus worse compared to the benchmark GLD (148.3%) in the same period.
• Compared with GLD (137.9%) in the period of the last 3 years, the total return of 50.7% is lower, 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.'

• The annual return (CAGR) over 5 years of Gold-USD Low volatility Sub-strategy is 14%, which is lower, thus worse compared to the benchmark GLD (20.1%) in the same period.
• Compared with GLD (33.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 14.7% is lower, thus worse.

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 historical 30 days volatility over 5 years of Gold-USD Low volatility Sub-strategy is 10.4%, which is lower, thus better compared to the benchmark GLD (18.7%) in the same period.
• During the last 3 years, the volatility is 10.7%, which is lower, thus better than the value of 21.1% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark GLD (13.1%) in the period of the last 5 years, the downside risk of 7% of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• Compared with GLD (14.9%) in the period of the last 3 years, the downside volatility of 7.4% is smaller, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark GLD (0.94) in the period of the last 5 years, the Sharpe Ratio of 1.11 of Gold-USD Low volatility Sub-strategy is larger, thus better.
• Looking at Sharpe Ratio in of 1.14 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.48).

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 (1.34) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.64 of Gold-USD Low volatility Sub-strategy is greater, thus better.
• Looking at ratio of annual return and downside deviation in of 1.65 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (2.1).

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.'

• The Downside risk index over 5 years of Gold-USD Low volatility Sub-strategy is 4.41 , which is smaller, thus better compared to the benchmark GLD (8.84 ) in the same period.
• Looking at Ulcer Ratio in of 5.1 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (7.98 ).

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.'

• The maximum DrawDown over 5 years of Gold-USD Low volatility Sub-strategy is -14.5 days, which is larger, thus better compared to the benchmark GLD (-26.4 days) in the same period.
• Compared with GLD (-26.4 days) in the period of the last 3 years, the maximum reduction from previous high of -14.5 days is higher, 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). 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'

• Looking at the maximum days under water of 214 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 (436 days)
• Compared with GLD (145 days) in the period of the last 3 years, the maximum days below previous high of 214 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.'

• The average time in days below previous high water mark over 5 years of Gold-USD Low volatility Sub-strategy is 54 days, which is lower, thus better compared to the benchmark GLD (102 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 57 days, which is greater, thus worse than the value of 30 days from the benchmark.