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.'

• The total return, or increase in value over 5 years of Gold-USD Low volatility Sub-strategy is 94%, which is lower, thus worse compared to the benchmark GLD (119.3%) in the same period.
• Compared with GLD (107%) in the period of the last 3 years, the total return, or performance of 51% is smaller, 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.'

• Looking at the annual return (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 (17.1%)
• During the last 3 years, the annual performance (CAGR) is 14.8%, which is lower, thus worse than the value of 27.7% 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 (18.5%) in the period of the last 5 years, the historical 30 days volatility of 10.4% of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• During the last 3 years, the volatility is 10.7%, which is smaller, 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 deviation over 5 years of Gold-USD Low volatility Sub-strategy is 7%, which is smaller, thus better compared to the benchmark GLD (13.1%) in the same period.
• Compared with GLD (14.8%) 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 1.13, which is greater, thus better compared to the benchmark GLD (0.79) in the same period.
• Compared with GLD (1.21) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.15 is lower, thus worse.

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.'

• Looking at the downside risk / excess return profile of 1.67 in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (1.11)
• During the last 3 years, the excess return divided by the downside deviation is 1.67, which is lower, thus worse than the value of 1.7 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Ratio over 5 years of Gold-USD Low volatility Sub-strategy is 4.12 , which is lower, thus better compared to the benchmark GLD (8.57 ) in the same period.
• Compared with GLD (7.48 ) in the period of the last 3 years, the Ulcer Ratio of 4.69 is lower, thus better.

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.'

• Looking at the maximum reduction from previous high of -14.2 days in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (-26.4 days)
• Looking at maximum reduction from previous high in of -14.2 days in the period of the last 3 years, we see it is relatively larger, 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) in days.'

• The maximum days under water over 5 years of Gold-USD Low volatility Sub-strategy is 196 days, which is lower, thus better compared to the benchmark GLD (436 days) in the same period.
• Compared with GLD (127 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 196 days is larger, thus worse.

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.'

• The average days below previous high over 5 years of Gold-USD Low volatility Sub-strategy is 51 days, which is lower, thus better compared to the benchmark GLD (101 days) in the same period.
• Compared with GLD (26 days) in the period of the last 3 years, the average time in days below previous high water mark of 52 days is larger, thus worse.