GMRS Unhedged Sub-strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or increase in value over 5 years of GMRS Unhedged Sub-strategy is 95.8%, which is larger, thus better compared to the benchmark ACWI (71.9%) in the same period.
• During the last 3 years, the total return, or performance is 72.7%, which is smaller, thus worse than the value of 82.5% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 14.4%, which is greater, thus better compared to the benchmark ACWI (11.5%) in the same period.
• Looking at annual performance (CAGR) in of 20.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (22.4%).

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 16.6%, which is greater, thus worse compared to the benchmark ACWI (16%) in the same period.
• During the last 3 years, the historical 30 days volatility is 16.2%, which is larger, thus worse than the value of 14.3% 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.'

• The downside deviation over 5 years of GMRS Unhedged Sub-strategy is 11.5%, which is greater, thus worse compared to the benchmark ACWI (11%) in the same period.
• Looking at downside deviation in of 11% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (9.5%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark ACWI (0.56) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.72 of GMRS Unhedged Sub-strategy is greater, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 1.09 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (1.39).

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 ACWI (0.82) in the period of the last 5 years, the downside risk / excess return profile of 1.04 of GMRS Unhedged Sub-strategy is larger, thus better.
• Looking at excess return divided by the downside deviation in of 1.6 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (2.08).

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 Downside risk index over 5 years of GMRS Unhedged Sub-strategy is 6.58 , which is lower, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• Compared with ACWI (3.21 ) in the period of the last 3 years, the Downside risk index of 4.08 is larger, thus worse.

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)
• Compared with ACWI (-16.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -16.1 days is greater, thus better.

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.'

• The maximum days under water over 5 years of GMRS Unhedged Sub-strategy is 286 days, which is smaller, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 241 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (94 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.'

• Looking at the average time in days below previous high water mark of 72 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 (127 days)
• Compared with ACWI (17 days) in the period of the last 3 years, the average days below previous high of 56 days is higher, thus worse.