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.'

• The total return, or performance over 5 years of GSRS Aggressive Sub-strategy is 202.7%, which is greater, thus better compared to the benchmark SPY (98.8%) in the same period.
• Compared with SPY (30.3%) in the period of the last 3 years, the total return of 1.5% is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual performance (CAGR) of 24.8% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (14.8%)
• Compared with SPY (9.2%) in the period of the last 3 years, the annual return (CAGR) of 0.5% is smaller, thus worse.

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 historical 30 days volatility of 23.3% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21%)
• During the last 3 years, the volatility is 15.7%, which is lower, thus better than the value of 17.5% from the benchmark.

DownVol:

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

• The downside risk over 5 years of GSRS Aggressive Sub-strategy is 16.3%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.3%) in the period of the last 3 years, the downside risk of 11.5% is lower, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the Sharpe Ratio of 0.96 in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.58)
• Looking at ratio of return and volatility (Sharpe) in of -0.13 in the period of the last 3 years, we see it is relatively smaller, 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.'

• The excess return divided by the downside deviation over 5 years of GSRS Aggressive Sub-strategy is 1.37, which is larger, thus better compared to the benchmark SPY (0.82) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is -0.17, which is lower, 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.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Index of 11 of GSRS Aggressive Sub-strategy is higher, thus worse.
• During the last 3 years, the Ulcer Ratio is 13 , which is greater, thus worse than the value of 10 from the benchmark.

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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -38.7 days of GSRS Aggressive Sub-strategy is lower, thus worse.
• Looking at maximum DrawDown in of -25.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 676 days of GSRS Aggressive Sub-strategy is higher, thus worse.
• During the last 3 years, the maximum days below previous high is 676 days, which is larger, thus worse than the value of 488 days from the benchmark.

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.'

• Compared with the benchmark SPY (122 days) in the period of the last 5 years, the average days under water of 211 days of GSRS Aggressive Sub-strategy is greater, thus worse.
• During the last 3 years, the average days under water is 311 days, which is higher, thus worse than the value of 177 days from the benchmark.