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:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark ACWI (36.3%) in the period of the last 5 years, the total return, or increase in value of 113.5% of GMRS unhedged is higher, thus better.
  • During the last 3 years, the total return is 58.2%, which is larger, thus better than the value of 37% 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.'

Which means for our asset as example:
  • Compared with the benchmark ACWI (6.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 16.4% of GMRS unhedged is higher, thus better.
  • Compared with ACWI (11.1%) in the period of the last 3 years, the annual return (CAGR) of 16.5% is larger, thus better.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 13.1% in the last 5 years of GMRS unhedged, we see it is relatively lower, thus better in comparison to the benchmark ACWI (13.4%)
  • Compared with ACWI (11.6%) in the period of the last 3 years, the historical 30 days volatility of 12% is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • The downside volatility over 5 years of GMRS unhedged is 14.3%, which is lower, thus better compared to the benchmark ACWI (14.6%) in the same period.
  • During the last 3 years, the downside deviation is 13.5%, which is greater, thus worse than the value of 13.1% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (0.29) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.06 of GMRS unhedged is greater, thus better.
  • Compared with ACWI (0.74) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.17 is higher, 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.'

Using this definition on our asset we see for example:
  • Looking at the excess return divided by the downside deviation of 0.97 in the last 5 years of GMRS unhedged, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.27)
  • During the last 3 years, the excess return divided by the downside deviation is 1.04, which is larger, thus better than the value of 0.65 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of GMRS unhedged is 3.2 , which is smaller, thus better compared to the benchmark ACWI (6.22 ) in the same period.
  • Compared with ACWI (5.11 ) in the period of the last 3 years, the Ulcer Index of 2.66 is lower, thus better.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -16 days in the last 5 years of GMRS unhedged, we see it is relatively larger, thus better in comparison to the benchmark ACWI (-19.5 days)
  • Looking at maximum reduction from previous high 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 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'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of GMRS unhedged is 132 days, which is smaller, thus better compared to the benchmark ACWI (408 days) in the same period.
  • Looking at maximum days under water in of 123 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (369 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.'

Applying this definition to our asset in some examples:
  • The average days below previous high over 5 years of GMRS unhedged is 29 days, which is lower, thus better compared to the benchmark ACWI (139 days) in the same period.
  • Looking at average time in days below previous high water mark in of 27 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (111 days).

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.