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.'

• The total return, or increase in value over 5 years of GMRS Unhedged Sub-strategy is 82%, which is higher, thus better compared to the benchmark ACWI (71.3%) in the same period.
• Compared with ACWI (76.1%) in the period of the last 3 years, the total return, or increase in value of 68.2% is lower, thus worse.

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.'

• Compared with the benchmark ACWI (11.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 12.8% of GMRS Unhedged Sub-strategy is greater, thus better.
• Compared with ACWI (20.8%) in the period of the last 3 years, the annual return (CAGR) of 19% is lower, thus worse.

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.'

• The volatility over 5 years of GMRS Unhedged Sub-strategy is 16.4%, which is higher, thus worse compared to the benchmark ACWI (15.9%) in the same period.
• Looking at volatility in of 15.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (14.1%).

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.'

• Looking at the downside deviation of 11.5% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark ACWI (11%)
• Looking at downside deviation in of 10.8% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.63 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.56)
• During the last 3 years, the risk / return profile (Sharpe) is 1.05, which is smaller, thus worse than the value of 1.3 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the excess return divided by the downside deviation of 0.89 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.81)
• During the last 3 years, the ratio of annual return and downside deviation is 1.53, which is lower, thus worse than the value of 1.94 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.'

• Looking at the Ulcer Index of 6.53 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (8.86 )
• Looking at Ulcer Ratio in of 3.92 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (3.18 ).

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.'

• The maximum reduction from previous high over 5 years of GMRS Unhedged Sub-strategy is -23 days, which is higher, thus better compared to the benchmark ACWI (-26.4 days) in the same period.
• 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 larger, 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 time in days below previous high water mark 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.
• During the last 3 years, the maximum days under water is 241 days, which is larger, thus worse than the value of 94 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 below previous high over 5 years of GMRS Unhedged Sub-strategy is 72 days, which is lower, thus better compared to the benchmark ACWI (128 days) in the same period.
• During the last 3 years, the average days under water is 55 days, which is higher, thus worse than the value of 20 days from the benchmark.