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.'

• Compared with the benchmark GLD (113%) in the period of the last 5 years, the total return of 118.9% of Gold-USD Low volatility Sub-strategy is greater, thus better.
• Compared with GLD (131.2%) in the period of the last 3 years, the total return of 72.5% is lower, 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.'

• Compared with the benchmark GLD (16.4%) in the period of the last 5 years, the annual performance (CAGR) of 17% of Gold-USD Low volatility Sub-strategy is larger, thus better.
• Compared with GLD (32.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 20% is lower, thus worse.

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.'

• Looking at the historical 30 days volatility of 11.6% 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 (15.6%)
• Looking at 30 days standard deviation in of 10.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (16.2%).

DownVol:

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

• Compared with the benchmark GLD (10.7%) in the period of the last 5 years, the downside risk of 7.9% of Gold-USD Low volatility Sub-strategy is lower, thus better.
• During the last 3 years, the downside risk is 6.5%, which is lower, thus better than the value of 10.7% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Gold-USD Low volatility Sub-strategy is 1.25, which is larger, thus better compared to the benchmark GLD (0.89) in the same period.
• Compared with GLD (1.85) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.74 is lower, thus worse.

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 ratio of annual return and downside deviation of 1.83 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 (1.3)
• Looking at downside risk / excess return profile in of 2.7 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (2.79).

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.'

• The Ulcer Index over 5 years of Gold-USD Low volatility Sub-strategy is 2.79 , which is lower, thus better compared to the benchmark GLD (7.65 ) in the same period.
• During the last 3 years, the Ulcer Index is 2.47 , which is smaller, thus better than the value of 3.78 from the benchmark.

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.'

• Compared with the benchmark GLD (-21 days) in the period of the last 5 years, the maximum DrawDown of -7.6 days of Gold-USD Low volatility Sub-strategy is greater, thus better.
• Compared with GLD (-11.3 days) in the period of the last 3 years, the maximum reduction from previous high of -6.9 days is greater, thus better.

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 days under water 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.
• Compared with GLD (145 days) in the period of the last 3 years, the maximum days under water of 125 days is smaller, thus better.

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 days below previous high over 5 years of Gold-USD Low volatility Sub-strategy is 39 days, which is lower, thus better compared to the benchmark GLD (125 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 32 days, which is greater, thus worse than the value of 28 days from the benchmark.