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 over 5 years of GMRS Unhedged Sub-strategy is 86%, which is greater, thus better compared to the benchmark ACWI (72.2%) in the same period.
• During the last 3 years, the total return, or increase in value is 64.1%, which is lower, thus worse than the value of 70.2% from the benchmark.

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 13.3%, which is higher, thus better compared to the benchmark ACWI (11.5%) in the same period.
• Looking at annual return (CAGR) in of 18.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (19.5%).

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.'

• The historical 30 days volatility over 5 years of GMRS Unhedged Sub-strategy is 16.4%, which is higher, thus worse compared to the benchmark ACWI (15.9%) in the same period.
• During the last 3 years, the volatility is 15.9%, which is greater, thus worse than the value of 14.2% 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.'

• Compared with the benchmark ACWI (11%) in the period of the last 5 years, the downside risk of 11.5% of GMRS Unhedged Sub-strategy is larger, thus worse.
• Compared with ACWI (9.6%) in the period of the last 3 years, the downside deviation of 10.9% 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.'

• The risk / return profile (Sharpe) over 5 years of GMRS Unhedged Sub-strategy is 0.66, which is larger, thus better compared to the benchmark ACWI (0.57) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.98 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (1.2).

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.'

• The downside risk / excess return profile over 5 years of GMRS Unhedged Sub-strategy is 0.94, which is greater, thus better compared to the benchmark ACWI (0.82) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.43, which is lower, thus worse than the value of 1.78 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.'

• Looking at the Downside risk index of 6.53 in the last 5 years of GMRS Unhedged Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (8.86 )
• Looking at Ulcer Index in of 3.94 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to ACWI (3.22 ).

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.'

• The maximum DrawDown over 5 years of GMRS Unhedged Sub-strategy is -23 days, which is higher, thus better compared to the benchmark ACWI (-26.4 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -16.1 days, which is greater, thus better than the value of -16.5 days from the benchmark.

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.'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum days below previous high of 286 days of GMRS Unhedged Sub-strategy is lower, thus better.
• Compared with ACWI (94 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 241 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.'

• Compared with the benchmark ACWI (128 days) in the period of the last 5 years, the average time in days below previous high water mark of 72 days of GMRS Unhedged Sub-strategy is lower, thus better.
• During the last 3 years, the average days under water is 55 days, which is greater, thus worse than the value of 20 days from the benchmark.