Description of GMRS unhedged

This is the unhedged version of our Global Market Rotation Strategy, together with the Hedge strategy it blends the hedged Global Market Rotation Strategy

Statistics of GMRS unhedged (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Looking at the total return of 117.4% in the last 5 years of GMRS unhedged, we see it is relatively higher, thus better in comparison to the benchmark ACWI (37.4%)
  • Compared with ACWI (37.6%) in the period of the last 3 years, the total return of 73.1% is higher, 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.'

Which means for our asset as example:
  • The annual performance (CAGR) over 5 years of GMRS unhedged is 16.8%, which is greater, thus better compared to the benchmark ACWI (6.6%) in the same period.
  • During the last 3 years, the annual return (CAGR) is 20.1%, which is greater, thus better than the value of 11.3% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 13% in the last 5 years of GMRS unhedged, we see it is relatively lower, thus better in comparison to the benchmark ACWI (13.3%)
  • During the last 3 years, the historical 30 days volatility is 12.3%, which is greater, thus worse than the value of 12.3% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (14.6%) in the period of the last 5 years, the downside volatility of 14.3% of GMRS unhedged is lower, thus better.
  • Looking at downside risk in of 13.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (14.1%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark ACWI (0.31) in the period of the last 5 years, the Sharpe Ratio of 1.1 of GMRS unhedged is higher, thus better.
  • Looking at risk / return profile (Sharpe) in of 1.43 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.71).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (0.28) in the period of the last 5 years, the excess return divided by the downside deviation of 1 of GMRS unhedged is higher, thus better.
  • Looking at downside risk / excess return profile in of 1.27 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (0.62).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (6.18 ) in the period of the last 5 years, the Downside risk index of 3.16 of GMRS unhedged is lower, thus worse.
  • Compared with ACWI (5.06 ) in the period of the last 3 years, the Downside risk index of 2.61 is lower, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:
  • Compared with the benchmark ACWI (-19.5 days) in the period of the last 5 years, the maximum DrawDown of -16 days of GMRS unhedged is higher, thus better.
  • Looking at maximum DrawDown in of -12 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (-19.5 days).

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of 132 days in the last 5 years of GMRS unhedged, we see it is relatively lower, thus better in comparison to the benchmark ACWI (408 days)
  • Compared with ACWI (330 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 123 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 28 days in the last 5 years of GMRS unhedged, we see it is relatively lower, thus better in comparison to the benchmark ACWI (130 days)
  • During the last 3 years, the average days under water is 26 days, which is lower, thus better than the value of 92 days from the benchmark.

Performance of GMRS unhedged (YTD)

Historical returns have been extended using synthetic data.

Allocations of GMRS unhedged
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Allocations

Returns of GMRS unhedged (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of GMRS unhedged are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.