Low volatility Gold-USD sub-strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or increase in value of 36.7% in the last 5 years of Low volatility Gold-USD sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (32.4%)
• Compared with GLD (28.6%) in the period of the last 3 years, the total return, or performance of 29.1% is greater, thus better.

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 (5.8%) in the period of the last 5 years, the annual return (CAGR) of 6.5% of Low volatility Gold-USD sub-strategy is higher, thus better.
• Compared with GLD (8.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.9% is greater, thus better.

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 30 days standard deviation over 5 years of Low volatility Gold-USD sub-strategy is 7.7%, which is lower, thus better compared to the benchmark GLD (13.2%) in the same period.
• Compared with GLD (12.3%) in the period of the last 3 years, the 30 days standard deviation of 6.6% 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 deviation of 5.1% in the last 5 years of Low volatility Gold-USD sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (9%)
• Looking at downside deviation in of 4.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (8.4%).

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 (0.25) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.51 of Low volatility Gold-USD sub-strategy is higher, thus better.
• Looking at risk / return profile (Sharpe) in of 0.97 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (0.51).

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 ratio of annual return and downside deviation over 5 years of Low volatility Gold-USD sub-strategy is 0.78, which is larger, thus better compared to the benchmark GLD (0.36) in the same period.
• Compared with GLD (0.74) in the period of the last 3 years, the excess return divided by the downside deviation of 1.41 is greater, thus better.

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.'

• The Ulcer Index over 5 years of Low volatility Gold-USD sub-strategy is 3.62 , which is lower, thus better compared to the benchmark GLD (7.46 ) in the same period.
• Compared with GLD (5.64 ) in the period of the last 3 years, the Ulcer Index of 2.32 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 (-17.8 days) in the period of the last 5 years, the maximum reduction from previous high of -13.9 days of Low volatility Gold-USD sub-strategy is higher, thus better.
• Compared with GLD (-13.8 days) in the period of the last 3 years, the maximum reduction from previous high of -8.4 days is higher, 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 Low volatility Gold-USD sub-strategy is 282 days, which is lower, thus better compared to the benchmark GLD (741 days) in the same period.
• Compared with GLD (352 days) in the period of the last 3 years, the maximum days below previous high of 131 days is lower, thus better.

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 days below previous high of 83 days in the last 5 years of Low volatility Gold-USD sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (246 days)
• Compared with GLD (102 days) in the period of the last 3 years, the average time in days below previous high water mark of 36 days is smaller, thus better.