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.'

• Looking at the total return, or increase in value of 27.8% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (75.9%)
• Looking at total return, or increase in value in of 47.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (87.4%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 5% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12%)
• Looking at compounded annual growth rate (CAGR) in of 13.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (23.4%).

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.'

• Looking at the 30 days standard deviation of 18.6% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.2%)
• During the last 3 years, the historical 30 days volatility is 19.5%, which is greater, thus worse than the value of 15.2% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 13.4% in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.8%)
• Compared with SPY (10.1%) in the period of the last 3 years, the downside risk of 13.8% 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.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.14 of GSRS Aggressive Sub-strategy is smaller, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.58, which is smaller, thus worse than the value of 1.37 from the benchmark.

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.'

• Compared with the benchmark SPY (0.8) in the period of the last 5 years, the excess return divided by the downside deviation of 0.19 of GSRS Aggressive Sub-strategy is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is 0.83, which is lower, thus worse than the value of 2.07 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 11 of GSRS Aggressive Sub-strategy is greater, thus worse.
• During the last 3 years, the Ulcer Ratio is 6.13 , which is greater, thus worse than the value of 3.2 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -25.3 days in the last 5 years of GSRS Aggressive Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -18.1 days in the period of the last 3 years, we see it is relatively greater, 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) in days.'

• The maximum days below previous high over 5 years of GSRS Aggressive Sub-strategy is 749 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 157 days, which is larger, thus worse than the value of 87 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 (118 days) in the period of the last 5 years, the average days below previous high of 250 days of GSRS Aggressive Sub-strategy is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 49 days, which is higher, thus worse than the value of 17 days from the benchmark.