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.'

• The total return, or increase in value over 5 years of GMRS Unhedged Sub-strategy is 113.6%, which is higher, thus better compared to the benchmark ACWI (35.1%) in the same period.
• Looking at total return, or performance in of 75.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (19.1%).

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 return (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 16.4%, which is larger, thus better compared to the benchmark ACWI (6.2%) in the same period.
• Compared with ACWI (6%) in the period of the last 3 years, the annual return (CAGR) of 20.5% is greater, 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 (20.3%) in the period of the last 5 years, the historical 30 days volatility of 21.4% of GMRS Unhedged Sub-strategy is higher, thus worse.
• Compared with ACWI (23.7%) in the period of the last 3 years, the 30 days standard deviation of 24.6% is larger, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 deviation over 5 years of GMRS Unhedged Sub-strategy is 15.4%, which is larger, thus worse compared to the benchmark ACWI (14.9%) in the same period.
• During the last 3 years, the downside risk is 17.6%, which is higher, thus worse than the value of 17.3% from the benchmark.

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 (0.18) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.65 of GMRS Unhedged Sub-strategy is higher, thus better.
• Compared with ACWI (0.15) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.73 is higher, thus better.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the excess return divided by the downside deviation of 0.9 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.25)
• During the last 3 years, the downside risk / excess return profile is 1.02, which is higher, thus better than the value of 0.2 from the benchmark.

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 7.11 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (9.31 )
• Compared with ACWI (11 ) in the period of the last 3 years, the Ulcer Index of 8.33 is smaller, 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 DrawDown of -28.6 days of GMRS Unhedged Sub-strategy is larger, thus better.
• Compared with ACWI (-33.5 days) in the period of the last 3 years, the maximum DrawDown of -28.6 days is higher, 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.'

• The maximum days under water over 5 years of GMRS Unhedged Sub-strategy is 161 days, which is lower, thus better compared to the benchmark ACWI (373 days) in the same period.
• Looking at maximum days below previous high in of 161 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (235 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.'

• Compared with the benchmark ACWI (99 days) in the period of the last 5 years, the average days below previous high of 39 days of GMRS Unhedged Sub-strategy is lower, thus better.
• Compared with ACWI (61 days) in the period of the last 3 years, the average time in days below previous high water mark of 36 days is smaller, thus better.