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.'

• Compared with the benchmark ACWI (87.2%) in the period of the last 5 years, the total return, or increase in value of 128.7% of GMRS Unhedged Sub-strategy is larger, thus better.
• Looking at total return in of 35.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (41.3%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 18.1%, which is larger, thus better compared to the benchmark ACWI (13.4%) in the same period.
• During the last 3 years, the annual return (CAGR) is 10.8%, which is smaller, thus worse than the value of 12.3% 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.'

• Compared with the benchmark ACWI (16.7%) in the period of the last 5 years, the volatility of 17.6% of GMRS Unhedged Sub-strategy is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 17.2%, which is greater, thus worse than the value of 16.7% from the benchmark.

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 12.4% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark ACWI (11.6%)
• During the last 3 years, the downside volatility is 12%, which is larger, thus worse than the value of 11.3% from the benchmark.

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.'

• Compared with the benchmark ACWI (0.65) in the period of the last 5 years, the Sharpe Ratio of 0.88 of GMRS Unhedged Sub-strategy is higher, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 0.48 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (0.59).

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 (0.94) in the period of the last 5 years, the excess return divided by the downside deviation of 1.26 of GMRS Unhedged Sub-strategy is greater, thus better.
• Compared with ACWI (0.87) in the period of the last 3 years, the downside risk / excess return profile of 0.69 is lower, thus worse.

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.'

• Looking at the Ulcer Ratio of 6.72 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (8.9 )
• During the last 3 years, the Downside risk index is 6.24 , which is higher, thus worse than the value of 5.01 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 drop from peak to valley of -23 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 (-26.4 days)
• During the last 3 years, the maximum drop from peak to valley is -19.2 days, which is lower, thus worse than the value of -16.5 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) in days.'

• Looking at the maximum days below previous high 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)
• Compared with ACWI (115 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 222 days is larger, thus worse.

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 time in days below previous high water mark of 70 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 (128 days)
• Looking at average time in days below previous high water mark in of 74 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (29 days).