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.'

• Looking at the total return, or performance of 106.8% 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 (167.7%)
• During the last 3 years, the total return, or performance is 57.2%, which is lower, thus worse than the value of 136.1% from the benchmark.

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.'

• Compared with the benchmark GLD (21.8%) in the period of the last 5 years, the annual return (CAGR) of 15.7% of Gold-USD Low volatility Sub-strategy is lower, thus worse.
• Looking at annual return (CAGR) in of 16.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (33.3%).

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.'

• Compared with the benchmark GLD (17.8%) in the period of the last 5 years, the 30 days standard deviation of 10.1% of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• Looking at 30 days standard deviation in of 10.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (19.6%).

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.'

• Compared with the benchmark GLD (12.4%) in the period of the last 5 years, the downside deviation of 6.7% of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Compared with GLD (13.8%) in the period of the last 3 years, the downside risk of 6.9% 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.'

• Compared with the benchmark GLD (1.09) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.31 of Gold-USD Low volatility Sub-strategy is higher, thus better.
• Compared with GLD (1.57) in the period of the last 3 years, the Sharpe Ratio of 1.33 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 excess return divided by the downside deviation of 1.98 in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (1.56)
• Compared with GLD (2.24) in the period of the last 3 years, the downside risk / excess return profile of 2 is lower, thus worse.

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.'

• Compared with the benchmark GLD (7.27 ) in the period of the last 5 years, the Ulcer Index of 3.33 of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Compared with GLD (4.52 ) in the period of the last 3 years, the Ulcer Index of 3.63 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.'

• Compared with the benchmark GLD (-21 days) in the period of the last 5 years, the maximum drop from peak to valley of -11.1 days of Gold-USD Low volatility Sub-strategy is greater, thus better.
• Looking at maximum reduction from previous high in of -11.1 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (-19.2 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). 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'

• The maximum time in days below previous high water mark over 5 years of Gold-USD Low volatility Sub-strategy is 171 days, which is lower, thus better compared to the benchmark GLD (436 days) in the same period.
• Looking at maximum days below previous high in of 125 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (145 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.'

• Compared with the benchmark GLD (108 days) in the period of the last 5 years, the average time in days below previous high water mark of 41 days of Gold-USD Low volatility Sub-strategy is lower, thus better.
• Looking at average days below previous high in of 39 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (30 days).