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 143.6%, which is greater, thus better compared to the benchmark ACWI (63.4%) in the same period.
• Looking at total return, or performance in of 32.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (22.5%).

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.'

• Compared with the benchmark ACWI (10.3%) in the period of the last 5 years, the annual return (CAGR) of 19.5% of GMRS Unhedged Sub-strategy is greater, thus better.
• Looking at compounded annual growth rate (CAGR) in of 9.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (7%).

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 volatility of 21.4% of GMRS Unhedged Sub-strategy is higher, thus worse.
• Compared with ACWI (16.5%) in the period of the last 3 years, the historical 30 days volatility of 16.4% is smaller, thus better.

DownVol:

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

• Looking at the downside volatility of 15.1% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark ACWI (14.5%)
• Looking at downside risk in of 11.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (11.5%).

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.'

• Compared with the benchmark ACWI (0.39) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.8 of GMRS Unhedged Sub-strategy is greater, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.45, which is higher, thus better than the value of 0.27 from the benchmark.

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.'

• The excess return divided by the downside deviation over 5 years of GMRS Unhedged Sub-strategy is 1.12, which is higher, thus better compared to the benchmark ACWI (0.54) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.64, which is higher, thus better than the value of 0.39 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.'

• Compared with the benchmark ACWI (9.93 ) in the period of the last 5 years, the Ulcer Ratio of 7.29 of GMRS Unhedged Sub-strategy is lower, thus better.
• Looking at Ulcer Ratio in of 7.91 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (11 ).

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 (-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 greater, thus better.
• Compared with ACWI (-26.4 days) in the period of the last 3 years, the maximum DrawDown of -23 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 days under water of 286 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 (516 days)
• Compared with ACWI (516 days) in the period of the last 3 years, the maximum days below previous high of 286 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.'

• Compared with the benchmark ACWI (132 days) in the period of the last 5 years, the average days under water of 57 days of GMRS Unhedged Sub-strategy is smaller, thus better.
• Compared with ACWI (193 days) in the period of the last 3 years, the average days below previous high of 79 days is lower, thus better.