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 96.4%, which is lower, thus worse compared to the benchmark GLD (122.2%) in the same period.
• Compared with GLD (100.7%) in the period of the last 3 years, the total return, or increase in value of 52.3% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of Gold-USD Low volatility Sub-strategy is 14.5%, which is smaller, thus worse compared to the benchmark GLD (17.4%) in the same period.
• During the last 3 years, the annual return (CAGR) is 15.1%, which is smaller, thus worse than the value of 26.3% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark GLD (19%) in the period of the last 5 years, the 30 days standard deviation of 10.3% of Gold-USD Low volatility Sub-strategy is lower, thus better.
• During the last 3 years, the volatility is 10.6%, which is smaller, thus better than the value of 21.6% from the benchmark.

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% 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 (13.4%)
• Looking at downside volatility in of 7.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (15.5%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark GLD (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.16 of Gold-USD Low volatility Sub-strategy is greater, thus better.
• Compared with GLD (1.1) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.19 is larger, thus better.

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.'

• The excess return divided by the downside deviation over 5 years of Gold-USD Low volatility Sub-strategy is 1.71, which is greater, thus better compared to the benchmark GLD (1.11) in the same period.
• Looking at downside risk / excess return profile in of 1.71 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (1.54).

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 4.89 , which is smaller, thus better compared to the benchmark GLD (9.71 ) in the same period.
• Looking at Downside risk index in of 5.79 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (9.53 ).

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 drop from peak to valley of -15.1 days in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (-26.4 days)
• Looking at maximum DrawDown 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 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.'

• Compared with the benchmark GLD (436 days) in the period of the last 5 years, the maximum days under water of 257 days of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• Looking at maximum days below previous high in of 257 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (188 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 Gold-USD Low volatility Sub-strategy is 62 days, which is lower, thus better compared to the benchmark GLD (108 days) in the same period.
• Compared with GLD (39 days) in the period of the last 3 years, the average days under water of 71 days is higher, thus worse.