GSRS Aggressive 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.'

• Compared with the benchmark SPY (67.6%) in the period of the last 5 years, the total return of 27.3% of GSRS Aggressive Sub-strategy is smaller, thus worse.
• Compared with SPY (36.7%) in the period of the last 3 years, the total return of 9.9% 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 GSRS Aggressive Sub-strategy is 4.9%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Looking at annual return (CAGR) in of 3.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (11%).

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 SPY (19%) in the period of the last 5 years, the 30 days standard deviation of 17.5% of GSRS Aggressive Sub-strategy is lower, thus better.
• Looking at historical 30 days volatility in of 19.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (22%).

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.'

• Looking at the downside volatility of 13.4% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.9%)
• During the last 3 years, the downside volatility is 15.3%, which is lower, thus better than the value of 16.2% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of GSRS Aggressive Sub-strategy is 0.14, which is lower, thus worse compared to the benchmark SPY (0.44) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.39).

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 SPY (0.6) in the period of the last 5 years, the excess return divided by the downside deviation of 0.18 of GSRS Aggressive Sub-strategy is lower, thus worse.
• Compared with SPY (0.53) in the period of the last 3 years, the excess return divided by the downside deviation of 0.05 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 Ratio over 5 years of GSRS Aggressive Sub-strategy is 9.22 , which is larger, thus worse compared to the benchmark SPY (5.91 ) in the same period.
• Looking at Ulcer Index in of 11 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (7 ).

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.'

• The maximum DrawDown over 5 years of GSRS Aggressive Sub-strategy is -44.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum DrawDown in of -44.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

• The maximum time in days below previous high water mark over 5 years of GSRS Aggressive Sub-strategy is 168 days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
• During the last 3 years, the maximum days under water is 121 days, which is smaller, thus better than the value of 139 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.'

• Compared with the benchmark SPY (45 days) in the period of the last 5 years, the average days under water of 42 days of GSRS Aggressive Sub-strategy is lower, thus better.
• Compared with SPY (42 days) in the period of the last 3 years, the average days under water of 34 days is lower, thus better.