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.'

• Looking at the total return of 41.3% 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 (-3.5%)
• Compared with GLD (0.5%) in the period of the last 3 years, the total return, or increase in value of 12.3% is greater, thus better.

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 compounded annual growth rate (CAGR) over 5 years of Low volatility Gold-USD sub-strategy is 7.2%, which is larger, thus better compared to the benchmark GLD (-0.7%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 3.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (0.2%).

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.'

• Compared with the benchmark GLD (12.9%) in the period of the last 5 years, the historical 30 days volatility of 8% of Low volatility Gold-USD sub-strategy is smaller, thus better.
• Compared with GLD (10.9%) in the period of the last 3 years, the historical 30 days volatility of 6.5% 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.'

• Looking at the downside volatility of 7.7% in the last 5 years of Low volatility Gold-USD sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (12.7%)
• Compared with GLD (11.1%) in the period of the last 3 years, the downside deviation of 6.1% is smaller, 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 ratio of return and volatility (Sharpe) over 5 years of Low volatility Gold-USD sub-strategy is 0.58, which is higher, thus better compared to the benchmark GLD (-0.25) in the same period.
• Compared with GLD (-0.21) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.22 is higher, thus better.

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 (-0.25) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.6 of Low volatility Gold-USD sub-strategy is higher, thus better.
• During the last 3 years, the downside risk / excess return profile is 0.24, which is larger, thus better than the value of -0.21 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.'

• Looking at the Ulcer Index of 3.62 in the last 5 years of Low volatility Gold-USD sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark GLD (9.99 )
• Compared with GLD (8.27 ) in the period of the last 3 years, the Downside risk index of 2.54 is lower, thus worse.

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 reduction from previous high over 5 years of Low volatility Gold-USD sub-strategy is -13.9 days, which is greater, thus better compared to the benchmark GLD (-22 days) in the same period.
• Compared with GLD (-17.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -6.6 days is larger, thus better.

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.'

• 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 (721 days) in the same period.
• Looking at maximum days below previous high in of 282 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (721 days).

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 Low volatility Gold-USD sub-strategy is 82 days, which is lower, thus better compared to the benchmark GLD (308 days) in the same period.
• Looking at average time in days below previous high water mark in of 82 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (351 days).