GMRS Unhedged Sub-strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return of 71.3% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (69.1%)
• During the last 3 years, the total return is 51.3%, which is lower, thus worse than the value of 74.9% from the benchmark.

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.'

• Compared with the benchmark ACWI (11.1%) in the period of the last 5 years, the annual return (CAGR) of 11.4% of GMRS Unhedged Sub-strategy is higher, thus better.
• Compared with ACWI (20.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 14.9% is lower, 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.'

• Looking at the historical 30 days volatility of 17.4% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark ACWI (16.3%)
• Looking at 30 days standard deviation in of 17% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (14.6%).

DownVol:

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

• Compared with the benchmark ACWI (11.2%) in the period of the last 5 years, the downside volatility of 12.2% of GMRS Unhedged Sub-strategy is larger, thus worse.
• Compared with ACWI (9.8%) in the period of the last 3 years, the downside risk of 11.8% is larger, thus worse.

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 ACWI (0.53) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.51 of GMRS Unhedged Sub-strategy is lower, thus worse.
• Compared with ACWI (1.24) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.73 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.'

• The downside risk / excess return profile over 5 years of GMRS Unhedged Sub-strategy is 0.73, which is lower, thus worse compared to the benchmark ACWI (0.77) in the same period.
• Looking at excess return divided by the downside deviation in of 1.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (1.85).

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 Ratio over 5 years of GMRS Unhedged Sub-strategy is 6.73 , which is smaller, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• During the last 3 years, the Downside risk index is 4.22 , which is greater, thus worse than the value of 2.81 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -23 days in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (-26.4 days)
• Looking at maximum drop from peak to valley in of -16.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (-16.5 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'

• Looking at the maximum days below previous high of 286 days in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (516 days)
• During the last 3 years, the maximum days under water is 241 days, which is higher, thus worse than the value of 62 days from the benchmark.

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 under water over 5 years of GMRS Unhedged Sub-strategy is 73 days, which is smaller, thus better compared to the benchmark ACWI (127 days) in the same period.
• Compared with ACWI (12 days) in the period of the last 3 years, the average days under water of 55 days is larger, thus worse.