Gold-USD Low volatility 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.'

• The total return, or increase in value over 5 years of Gold-USD Low volatility Sub-strategy is 95.4%, which is smaller, thus worse compared to the benchmark GLD (139.8%) in the same period.
• Compared with GLD (124.6%) in the period of the last 3 years, the total return, or increase in value of 53.9% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual performance (CAGR) over 5 years of Gold-USD Low volatility Sub-strategy is 14.4%, which is lower, thus worse compared to the benchmark GLD (19.2%) in the same period.
• Compared with GLD (31.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 15.5% is smaller, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark GLD (18.6%) in the period of the last 5 years, the volatility of 10.4% of Gold-USD Low volatility Sub-strategy is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 10.7%, which is lower, thus better than the value of 20.9% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 7% in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (13%)
• Looking at downside risk in of 7.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (14.8%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the risk / return profile (Sharpe) of 1.15 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 (0.9)
• Looking at Sharpe Ratio in of 1.21 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.37).

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.'

• Compared with the benchmark GLD (1.28) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.7 of Gold-USD Low volatility Sub-strategy is higher, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 1.76, which is smaller, thus worse than the value of 1.93 from the benchmark.

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.'

• Looking at the Ulcer Index of 4.25 in the last 5 years of Gold-USD Low volatility Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (8.72 )
• During the last 3 years, the Downside risk index is 4.87 , which is lower, thus better than the value of 7.76 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.'

• Looking at the maximum drop from peak to valley of -14.5 days 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 (-26.4 days)
• Compared with GLD (-26.4 days) in the period of the last 3 years, the maximum reduction from previous high of -14.5 days is larger, thus better.

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 204 days of Gold-USD Low volatility Sub-strategy is smaller, thus better.
• Compared with GLD (135 days) in the period of the last 3 years, the maximum days under water of 204 days is larger, thus worse.

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 52 days, which is lower, thus better compared to the benchmark GLD (101 days) in the same period.
• Looking at average time in days below previous high water mark in of 54 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (27 days).