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 151.1%, which is higher, thus better compared to the benchmark ACWI (58.3%) in the same period.
• Compared with ACWI (13.2%) in the period of the last 3 years, the total return, or increase in value of 45.6% is higher, thus better.

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 annual performance (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 20.2%, which is higher, thus better compared to the benchmark ACWI (9.6%) in the same period.
• Compared with ACWI (4.2%) in the period of the last 3 years, the annual return (CAGR) of 13.4% is higher, thus better.

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.'

• Compared with the benchmark ACWI (20%) in the period of the last 5 years, the 30 days standard deviation of 21% of GMRS Unhedged Sub-strategy is higher, thus worse.
• During the last 3 years, the 30 days standard deviation is 16.3%, which is lower, thus better than the value of 16.4% from the benchmark.

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 (14.5%) in the period of the last 5 years, the downside deviation of 14.9% of GMRS Unhedged Sub-strategy is larger, thus worse.
• Compared with ACWI (11.4%) in the period of the last 3 years, the downside risk of 11.3% is lower, thus better.

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 0.84, which is larger, thus better compared to the benchmark ACWI (0.36) in the same period.
• Compared with ACWI (0.1) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.67 is greater, thus better.

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 (0.49) in the period of the last 5 years, the excess return divided by the downside deviation of 1.19 of GMRS Unhedged Sub-strategy is greater, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 0.96, which is higher, thus better than the value of 0.15 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Ulcer Ratio over 5 years of GMRS Unhedged Sub-strategy is 7.17 , which is lower, thus better compared to the benchmark ACWI (9.95 ) in the same period.
• During the last 3 years, the Ulcer Index is 7.68 , which is smaller, thus better than the value of 11 from the benchmark.

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 -28.6 days in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (-33.5 days)
• During the last 3 years, the maximum DrawDown is -23 days, which is greater, thus better than the value of -26.4 days from the benchmark.

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'

• The maximum days under water over 5 years of GMRS Unhedged Sub-strategy is 286 days, which is smaller, thus better compared to the benchmark ACWI (516 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 286 days, which is lower, thus better than the value of 516 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.'

• Compared with the benchmark ACWI (133 days) in the period of the last 5 years, the average days under water of 55 days of GMRS Unhedged Sub-strategy is lower, thus better.
• Compared with ACWI (194 days) in the period of the last 3 years, the average time in days below previous high water mark of 73 days is smaller, thus better.