GMRS Unhedged 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 GMRS Unhedged Sub-strategy is 148%, which is greater, thus better compared to the benchmark ACWI (56.6%) in the same period.
• During the last 3 years, the total return is 45.1%, which is larger, thus better than the value of 13.2% 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.'

• Looking at the compounded annual growth rate (CAGR) of 19.9% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (9.4%)
• Compared with ACWI (4.2%) in the period of the last 3 years, the annual performance (CAGR) of 13.2% is higher, thus better.

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.'

• Looking at the 30 days standard deviation of 21% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark ACWI (20%)
• During the last 3 years, the historical 30 days volatility is 16.3%, which is lower, thus better than the value of 16.4% from the benchmark.

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 (14.5%) in the period of the last 5 years, the downside deviation of 14.9% of GMRS Unhedged Sub-strategy is larger, thus worse.
• During the last 3 years, the downside deviation is 11.3%, which is lower, thus better than the value of 11.4% 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 (0.35) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.83 of GMRS Unhedged Sub-strategy is larger, thus better.
• Compared with ACWI (0.11) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.66 is larger, thus better.

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 excess return divided by the downside deviation over 5 years of GMRS Unhedged Sub-strategy is 1.17, which is larger, thus better compared to the benchmark ACWI (0.48) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.95 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (0.15).

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.'

• Looking at the Downside risk index of 7.17 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (9.95 )
• During the last 3 years, the Ulcer Ratio is 7.69 , which is lower, thus better than the value of 11 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.'

• The maximum reduction from previous high over 5 years of GMRS Unhedged Sub-strategy is -28.6 days, which is larger, thus better compared to the benchmark ACWI (-33.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -23 days, which is higher, thus better than the value of -26.4 days from the benchmark.

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.'

• The maximum days under water over 5 years of GMRS Unhedged Sub-strategy is 286 days, which is lower, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum days below previous high in of 286 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (516 days).

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.'

• Compared with the benchmark ACWI (133 days) in the period of the last 5 years, the average time in days below previous high water mark of 55 days of GMRS Unhedged Sub-strategy is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 73 days, which is lower, thus better than the value of 194 days from the benchmark.