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.'

• Compared with the benchmark ACWI (65.3%) in the period of the last 5 years, the total return, or performance of 92.4% of GMRS Unhedged Sub-strategy is greater, thus better.
• During the last 3 years, the total return, or increase in value is 65.5%, which is lower, thus worse than the value of 72.1% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 14%, which is larger, thus better compared to the benchmark ACWI (10.6%) in the same period.
• Compared with ACWI (19.9%) in the period of the last 3 years, the annual return (CAGR) of 18.4% is smaller, 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.'

• The historical 30 days volatility over 5 years of GMRS Unhedged Sub-strategy is 16.5%, which is greater, thus worse compared to the benchmark ACWI (16%) in the same period.
• Looking at 30 days standard deviation in of 16% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (14.3%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Compared with the benchmark ACWI (11%) in the period of the last 5 years, the downside volatility of 11.5% of GMRS Unhedged Sub-strategy is higher, thus worse.
• During the last 3 years, the downside risk is 11%, which is larger, thus worse than the value of 9.6% from the benchmark.

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 (0.51) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.7 of GMRS Unhedged Sub-strategy is larger, thus better.
• Compared with ACWI (1.22) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.99 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the ratio of annual return and downside deviation of 1 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.73)
• Compared with ACWI (1.82) in the period of the last 3 years, the excess return divided by the downside deviation of 1.45 is lower, thus worse.

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.'

• The Ulcer Index over 5 years of GMRS Unhedged Sub-strategy is 6.57 , which is lower, thus better compared to the benchmark ACWI (8.89 ) in the same period.
• Looking at Downside risk index in of 4.07 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (3.21 ).

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 reduction from previous high of -23 days in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (-26.4 days)
• During the last 3 years, the maximum reduction from previous high is -16.1 days, which is higher, thus better than the value of -16.5 days from the benchmark.

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) in days.'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum days below previous high of 286 days of GMRS Unhedged Sub-strategy is smaller, thus better.
• Compared with ACWI (94 days) in the period of the last 3 years, the maximum days under water of 241 days is greater, thus worse.

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.'

• Compared with the benchmark ACWI (127 days) in the period of the last 5 years, the average time in days below previous high water mark of 72 days of GMRS Unhedged Sub-strategy is smaller, thus better.
• Looking at average time in days below previous high water mark in of 55 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (17 days).