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 over 5 years of GMRS Unhedged Sub-strategy is 91.8%, which is larger, thus better compared to the benchmark ACWI (68.2%) in the same period.
• Looking at total return in of 71.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (71.6%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 14%, which is higher, thus better compared to the benchmark ACWI (11%) in the same period.
• Looking at annual performance (CAGR) in of 19.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (19.8%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of GMRS Unhedged Sub-strategy is 16.3%, which is greater, thus worse compared to the benchmark ACWI (15.9%) in the same period.
• Looking at 30 days standard deviation in of 15.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (14%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside deviation of 11.4% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark ACWI (10.9%)
• During the last 3 years, the downside volatility is 10.7%, which is greater, thus worse than the value of 9.4% from the benchmark.

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 risk / return profile (Sharpe) of 0.7 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (0.53)
• Compared with ACWI (1.24) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.1 is lower, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of 1.01 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.78)
• During the last 3 years, the downside risk / excess return profile is 1.62, which is smaller, thus worse than the value of 1.84 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 Ratio of 6.52 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 3.87 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (3.07 ).

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.'

• Compared with the benchmark ACWI (-26.4 days) in the period of the last 5 years, the maximum reduction from previous high of -23 days of GMRS Unhedged Sub-strategy is higher, thus better.
• 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 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.'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum days below previous high of 286 days of GMRS Unhedged Sub-strategy is lower, thus better.
• 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 Average 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. 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 (127 days) in the period of the last 5 years, the average days under water of 72 days of GMRS Unhedged Sub-strategy is lower, thus better.
• Looking at average days below previous high in of 55 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (17 days).