GSRS Aggressive 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 GSRS Aggressive Sub-strategy is 40.7%, which is lower, thus worse compared to the benchmark SPY (87.7%) in the same period.
• During the last 3 years, the total return, or performance is 34.9%, which is lower, thus worse than the value of 80.2% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of GSRS Aggressive Sub-strategy is 7.1%, which is lower, thus worse compared to the benchmark SPY (13.5%) in the same period.
• Compared with SPY (21.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 10.6% is smaller, thus worse.

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 volatility over 5 years of GSRS Aggressive Sub-strategy is 17.6%, which is greater, thus worse compared to the benchmark SPY (17%) in the same period.
• Looking at historical 30 days volatility in of 18.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.1%).

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 SPY (11.7%) in the period of the last 5 years, the downside volatility of 12.6% of GSRS Aggressive Sub-strategy is larger, thus worse.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside volatility of 13% is higher, thus worse.

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.'

• Looking at the Sharpe Ratio of 0.26 in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.65)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.44, which is lower, thus worse than the value of 1.28 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of GSRS Aggressive Sub-strategy is 0.37, which is lower, thus worse compared to the benchmark SPY (0.94) in the same period.
• Looking at excess return divided by the downside deviation in of 0.62 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.92).

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 11 , which is higher, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Downside risk index in of 5.97 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.39 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -25.3 days of GSRS Aggressive Sub-strategy is lower, thus worse.
• Looking at maximum drop from peak to valley in of -18.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-18.8 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). 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 GSRS Aggressive Sub-strategy is 749 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 186 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 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.'

• Looking at the average days under water of 248 days in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (19 days) in the period of the last 3 years, the average time in days below previous high water mark of 55 days is larger, thus worse.