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, or increase in value over 5 years of Gold-USD Low volatility Sub-strategy is 32.9%, which is smaller, thus worse compared to the benchmark GLD (49.1%) in the same period.
• Looking at total return, or increase in value in of 26.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (41.5%).

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 compounded annual growth rate (CAGR) over 5 years of Gold-USD Low volatility Sub-strategy is 5.8%, which is lower, thus worse compared to the benchmark GLD (8.3%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 8.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (12.3%).

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 volatility over 5 years of Gold-USD Low volatility Sub-strategy is 8%, which is lower, thus better compared to the benchmark GLD (13.4%) in the same period.
• Looking at volatility in of 7.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (12.8%).

DownVol:

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

• Looking at the downside deviation of 5.3% 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 (9.1%)
• Looking at downside volatility in of 5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (8.7%).

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 risk / return profile (Sharpe) over 5 years of Gold-USD Low volatility Sub-strategy is 0.42, which is lower, thus worse compared to the benchmark GLD (0.43) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.8, which is larger, thus better than the value of 0.76 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of 0.63 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 (0.64)
• During the last 3 years, the ratio of annual return and downside deviation is 1.13, which is greater, thus better than the value of 1.13 from the benchmark.

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.'

• Looking at the Downside risk index of 3.13 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 (7.02 )
• Compared with GLD (5.55 ) in the period of the last 3 years, the Downside risk index of 2.48 is lower, thus better.

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 reduction from previous high over 5 years of Gold-USD Low volatility Sub-strategy is -12 days, which is larger, thus better compared to the benchmark GLD (-17.8 days) in the same period.
• Looking at maximum drop from peak to valley in of -8.4 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (-13.8 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 282 days, which is lower, thus better compared to the benchmark GLD (741 days) in the same period.
• During the last 3 years, the maximum days under water is 131 days, which is smaller, thus better than the value of 352 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 75 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 (239 days)
• Compared with GLD (102 days) in the period of the last 3 years, the average days under water of 36 days is smaller, thus better.