GMRS Unhedged Sub-strategy

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.'

• Compared with the benchmark ACWI (96.2%) in the period of the last 5 years, the total return, or performance of 188.7% of GMRS Unhedged Sub-strategy is larger, thus better.
• Compared with ACWI (47.5%) in the period of the last 3 years, the total return, or increase in value of 71.7% is higher, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The compounded annual growth rate (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 23.6%, which is larger, thus better compared to the benchmark ACWI (14.4%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 19.7%, which is higher, thus better than the value of 13.8% from the benchmark.

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.'

• Looking at the historical 30 days volatility of 18.3% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark ACWI (18.1%)
• Compared with ACWI (21.4%) in the period of the last 3 years, the 30 days standard deviation of 21.6% is greater, thus worse.

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.'

• The downside volatility over 5 years of GMRS Unhedged Sub-strategy is 13.4%, which is larger, thus worse compared to the benchmark ACWI (13.4%) in the same period.
• During the last 3 years, the downside risk is 16%, which is greater, thus worse than the value of 15.8% from the benchmark.

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.'

• Compared with the benchmark ACWI (0.66) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.16 of GMRS Unhedged Sub-strategy is larger, thus better.
• Looking at risk / return profile (Sharpe) in of 0.8 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (0.53).

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 1.58 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (0.89)
• Compared with ACWI (0.71) in the period of the last 3 years, the downside risk / excess return profile of 1.07 is larger, thus better.

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 4.8 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (6.28 )
• Compared with ACWI (7.08 ) in the period of the last 3 years, the Ulcer Index of 6.06 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 reduction from previous high of -31.1 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)
• Compared with ACWI (-33.5 days) in the period of the last 3 years, the maximum DrawDown of -31.1 days is greater, 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.'

• Looking at the maximum time in days below previous high water mark of 98 days in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (373 days)
• Compared with ACWI (138 days) in the period of the last 3 years, the maximum days below previous high of 98 days is lower, thus better.

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 18 days, which is lower, thus better compared to the benchmark ACWI (81 days) in the same period.
• Compared with ACWI (37 days) in the period of the last 3 years, the average time in days below previous high water mark of 24 days is smaller, thus better.