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.'

• Compared with the benchmark ACWI (39.7%) in the period of the last 5 years, the total return of 126.9% of GMRS Unhedged Sub-strategy is higher, thus better.
• During the last 3 years, the total return, or performance is 74.5%, which is higher, thus better than the value of 34.4% 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.'

• The annual performance (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 17.8%, which is higher, thus better compared to the benchmark ACWI (6.9%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 20.4%, which is higher, thus better than the value of 10.4% from the benchmark.

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 21.1% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark ACWI (20.3%)
• Looking at volatility in of 18.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (17.7%).

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 (14.8%) in the period of the last 5 years, the downside deviation of 15% of GMRS Unhedged Sub-strategy is higher, thus worse.
• Looking at downside risk in of 13.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (12.5%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The ratio of return and volatility (Sharpe) over 5 years of GMRS Unhedged Sub-strategy is 0.73, which is higher, thus better compared to the benchmark ACWI (0.22) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.97 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (0.45).

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 (0.3) in the period of the last 5 years, the downside risk / excess return profile of 1.02 of GMRS Unhedged Sub-strategy is higher, thus better.
• Looking at downside risk / excess return profile in of 1.37 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.63).

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.'

• The Ulcer Ratio over 5 years of GMRS Unhedged Sub-strategy is 7.29 , which is smaller, thus better compared to the benchmark ACWI (9.86 ) in the same period.
• Compared with ACWI (11 ) in the period of the last 3 years, the Downside risk index of 7.82 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.'

• Looking at the maximum drop from peak to valley of -28.6 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 (-33.5 days)
• Looking at maximum drop from peak to valley in of -23 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (-26.4 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'

• Looking at the maximum days under water of 278 days in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (352 days)
• During the last 3 years, the maximum days below previous high is 278 days, which is lower, thus better than the value of 352 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 time in days below previous high water mark over 5 years of GMRS Unhedged Sub-strategy is 56 days, which is smaller, thus better compared to the benchmark ACWI (78 days) in the same period.
• During the last 3 years, the average days under water is 70 days, which is lower, thus better than the value of 100 days from the benchmark.