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 performance over 5 years of GMRS Unhedged Sub-strategy is 73%, which is larger, thus better compared to the benchmark ACWI (70.6%) in the same period.
• Compared with ACWI (81.2%) in the period of the last 3 years, the total return, or increase in value of 57.5% is lower, thus worse.

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 11.6%, which is larger, thus better compared to the benchmark ACWI (11.3%) in the same period.
• Looking at annual return (CAGR) in of 16.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (22%).

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 17.4% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark ACWI (16.3%)
• During the last 3 years, the 30 days standard deviation is 17%, which is greater, thus worse than the value of 14.6% from the benchmark.

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.'

• Looking at the downside volatility of 12.2% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark ACWI (11.1%)
• Compared with ACWI (9.7%) in the period of the last 3 years, the downside deviation of 11.8% is greater, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.53 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark ACWI (0.54)
• Compared with ACWI (1.34) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.82 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark ACWI (0.79) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.75 of GMRS Unhedged Sub-strategy is lower, thus worse.
• Compared with ACWI (2) in the period of the last 3 years, the downside risk / excess return profile of 1.18 is smaller, thus worse.

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 Index over 5 years of GMRS Unhedged Sub-strategy is 6.74 , which is lower, thus better compared to the benchmark ACWI (8.9 ) in the same period.
• Looking at Ulcer Ratio in of 4.21 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (2.71 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum reduction from previous high over 5 years of GMRS Unhedged Sub-strategy is -23 days, which is greater, thus better compared to the benchmark ACWI (-26.4 days) in the same period.
• Looking at maximum DrawDown in of -16.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (-16.5 days).

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 lower, thus better in comparison to the benchmark ACWI (516 days)
• During the last 3 years, the maximum days under water is 241 days, which is larger, thus worse than the value of 62 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.'

• Looking at the average days below previous high of 73 days in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (127 days)
• During the last 3 years, the average days below previous high is 55 days, which is larger, thus worse than the value of 12 days from the benchmark.