GSRS Aggressive 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.'

• Looking at the total return of 78.4% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (106.8%)
• During the last 3 years, the total return, or performance is 36.7%, which is lower, thus worse than the value of 71.9% 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 performance (CAGR) over 5 years of GSRS Aggressive Sub-strategy is 12.3%, which is lower, thus worse compared to the benchmark SPY (15.7%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 11% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.8%).

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.'

• Looking at the historical 30 days volatility of 19.6% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.9%)
• Looking at historical 30 days volatility in of 23% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21.9%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside risk of 14.6% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.8%)
• Compared with SPY (15.9%) in the period of the last 3 years, the downside deviation of 17.4% is higher, 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.'

• Looking at the risk / return profile (Sharpe) of 0.5 in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.69)
• During the last 3 years, the Sharpe Ratio is 0.37, which is lower, thus worse than the value of 0.79 from the benchmark.

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 (0.95) in the period of the last 5 years, the excess return divided by the downside deviation of 0.67 of GSRS Aggressive Sub-strategy is smaller, thus worse.
• Compared with SPY (1.09) in the period of the last 3 years, the downside risk / excess return profile of 0.49 is smaller, 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.'

• Compared with the benchmark SPY (5.61 ) in the period of the last 5 years, the Downside risk index of 11 of GSRS Aggressive Sub-strategy is greater, thus worse.
• Looking at Ulcer Index in of 14 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.08 ).

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 SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -44.6 days of GSRS Aggressive Sub-strategy is smaller, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -44.6 days is lower, thus worse.

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.'

• Looking at the maximum days under water of 237 days in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
• Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 237 days is greater, thus worse.

AveDuration:

'The Average 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. 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 time in days below previous high water mark over 5 years of GSRS Aggressive Sub-strategy is 51 days, which is higher, thus worse compared to the benchmark SPY (32 days) in the same period.
• Looking at average days below previous high in of 69 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22 days).