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 (60.5%) in the period of the last 5 years, the total return, or performance of 134.1% of GMRS Unhedged Sub-strategy is greater, thus better.
• Looking at total return, or increase in value in of 32.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (20.8%).

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 (10%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 18.6% of GMRS Unhedged Sub-strategy is greater, thus better.
• Compared with ACWI (6.5%) in the period of the last 3 years, the annual return (CAGR) of 10% 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.'

• Compared with the benchmark ACWI (20%) in the period of the last 5 years, the historical 30 days volatility of 21.4% of GMRS Unhedged Sub-strategy is larger, thus worse.
• Looking at historical 30 days volatility in of 16.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (16.5%).

DownVol:

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

• The downside deviation over 5 years of GMRS Unhedged Sub-strategy is 15.2%, which is larger, thus worse compared to the benchmark ACWI (14.5%) in the same period.
• Looking at downside deviation in of 11.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (11.5%).

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.'

• The Sharpe Ratio over 5 years of GMRS Unhedged Sub-strategy is 0.75, which is larger, thus better compared to the benchmark ACWI (0.37) in the same period.
• Compared with ACWI (0.24) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.45 is larger, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The downside risk / excess return profile over 5 years of GMRS Unhedged Sub-strategy is 1.06, which is larger, thus better compared to the benchmark ACWI (0.51) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.64, which is greater, thus better than the value of 0.35 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark ACWI (9.94 ) in the period of the last 5 years, the Ulcer Ratio of 7.33 of GMRS Unhedged Sub-strategy is lower, thus better.
• Compared with ACWI (10 ) in the period of the last 3 years, the Ulcer Ratio of 7.79 is lower, thus better.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum reduction from previous high of -28.6 days of GMRS Unhedged Sub-strategy is higher, thus better.
• Compared with ACWI (-25.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -23 days is higher, 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 below previous high 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.
• Looking at maximum days under water in of 286 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (483 days).

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.'

• The average time in days below previous high water mark over 5 years of GMRS Unhedged Sub-strategy is 58 days, which is smaller, thus better compared to the benchmark ACWI (131 days) in the same period.
• During the last 3 years, the average days under water is 80 days, which is smaller, thus better than the value of 170 days from the benchmark.