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.'

• The total return, or performance over 5 years of GMRS Unhedged Sub-strategy is 138.9%, which is greater, thus better compared to the benchmark ACWI (89.5%) in the same period.
• Compared with ACWI (29.7%) in the period of the last 3 years, the total return, or performance of 28.5% is lower, thus worse.

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 compounded annual growth rate (CAGR) over 5 years of GMRS Unhedged Sub-strategy is 19.1%, which is larger, thus better compared to the benchmark ACWI (13.7%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 8.8%, which is lower, thus worse than the value of 9.1% from the benchmark.

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.'

• Looking at the volatility of 17.8% in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark ACWI (16.9%)
• Compared with ACWI (17.3%) in the period of the last 3 years, the volatility of 17.6% is higher, thus worse.

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 (11.7%) in the period of the last 5 years, the downside risk of 12.5% of GMRS Unhedged Sub-strategy is greater, thus worse.
• Looking at downside risk in of 12.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to ACWI (11.9%).

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.'

• Compared with the benchmark ACWI (0.66) in the period of the last 5 years, the Sharpe Ratio of 0.93 of GMRS Unhedged Sub-strategy is larger, thus better.
• Looking at Sharpe Ratio in of 0.36 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (0.38).

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.'

• Looking at the ratio of annual return and downside deviation of 1.32 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.96)
• During the last 3 years, the downside risk / excess return profile is 0.5, which is smaller, thus worse than the value of 0.55 from the benchmark.

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 Downside risk index over 5 years of GMRS Unhedged Sub-strategy is 6.7 , which is smaller, thus better compared to the benchmark ACWI (8.89 ) in the same period.
• During the last 3 years, the Downside risk index is 6.57 , which is greater, thus worse than the value of 5.48 from the benchmark.

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 DrawDown 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.
• During the last 3 years, the maximum reduction from previous high is -20.1 days, which is smaller, thus worse than the value of -17.4 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'

• The maximum days below previous high over 5 years of GMRS Unhedged Sub-strategy is 286 days, which is smaller, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 235 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (270 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 days below previous high over 5 years of GMRS Unhedged Sub-strategy is 66 days, which is smaller, thus better compared to the benchmark ACWI (128 days) in the same period.
• During the last 3 years, the average days below previous high is 76 days, which is higher, thus worse than the value of 66 days from the benchmark.