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 120.4%, which is higher, thus better compared to the benchmark ACWI (87.7%) in the same period.
• Looking at total return, or performance in of 54.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (60.9%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 17.2% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (13.5%)
• Looking at annual return (CAGR) in of 15.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (17.3%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark ACWI (16.3%) in the period of the last 5 years, the historical 30 days volatility of 17.4% of GMRS Unhedged Sub-strategy is greater, thus worse.
• Looking at historical 30 days volatility in of 16.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to ACWI (16.1%).

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 12.2% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark ACWI (11.2%)
• Compared with ACWI (10.7%) in the period of the last 3 years, the downside risk of 11.6% is larger, thus worse.

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 (0.67) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.85 of GMRS Unhedged Sub-strategy is greater, thus better.
• Looking at risk / return profile (Sharpe) in of 0.78 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (0.92).

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 (0.98) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.21 of GMRS Unhedged Sub-strategy is greater, thus better.
• Compared with ACWI (1.39) in the period of the last 3 years, the excess return divided by the downside deviation of 1.14 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.'

• The Ulcer Index over 5 years of GMRS Unhedged Sub-strategy is 6.72 , which is lower, thus better compared to the benchmark ACWI (8.89 ) in the same period.
• Looking at Downside risk index in of 5.77 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (4.68 ).

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 (-26.4 days) in the period of the last 5 years, the maximum DrawDown of -23 days of GMRS Unhedged Sub-strategy is greater, thus better.
• Looking at maximum reduction from previous high in of -18.9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (-16.5 days).

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.'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 286 days of GMRS Unhedged Sub-strategy is lower, thus better.
• Compared with ACWI (115 days) in the period of the last 3 years, the maximum days under water of 241 days is higher, 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.'

• The average days under water over 5 years of GMRS Unhedged Sub-strategy is 73 days, which is lower, thus better compared to the benchmark ACWI (129 days) in the same period.
• Looking at average time in days below previous high water mark in of 68 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (28 days).