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.'

• Looking at the total return, or increase in value of 165.7% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (79.1%)
• Compared with ACWI (26.9%) in the period of the last 3 years, the total return, or performance of 48.5% is greater, thus better.

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.'

• The annual return (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 21.6%, which is larger, thus better compared to the benchmark ACWI (12.4%) in the same period.
• During the last 3 years, the annual return (CAGR) is 14.1%, which is higher, thus better than the value of 8.3% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the volatility of 21.2% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark ACWI (19.9%)
• During the last 3 years, the historical 30 days volatility is 16.8%, which is larger, thus worse than the value of 16.6% from the benchmark.

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.'

• Compared with the benchmark ACWI (14.4%) in the period of the last 5 years, the downside risk of 15% of GMRS Unhedged Sub-strategy is greater, thus worse.
• Compared with ACWI (11.5%) in the period of the last 3 years, the downside deviation of 11.6% is greater, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.9 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (0.5)
• During the last 3 years, the risk / return profile (Sharpe) is 0.69, which is higher, thus better than the value of 0.35 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.'

• Compared with the benchmark ACWI (0.69) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.27 of GMRS Unhedged Sub-strategy is higher, thus better.
• Compared with ACWI (0.5) in the period of the last 3 years, the downside risk / excess return profile of 1 is greater, thus better.

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 (9.93 ) in the period of the last 5 years, the Ulcer Index of 7.23 of GMRS Unhedged Sub-strategy is lower, thus better.
• Compared with ACWI (11 ) in the period of the last 3 years, the Ulcer Index of 7.84 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.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -28.6 days of GMRS Unhedged Sub-strategy is higher, thus better.
• During the last 3 years, the maximum drop from peak to valley is -23 days, which is higher, 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'

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

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 54 days, which is smaller, thus better compared to the benchmark ACWI (134 days) in the same period.
• Compared with ACWI (195 days) in the period of the last 3 years, the average days below previous high of 74 days is lower, thus better.