GSRS Low Volatility 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.'

• Looking at the total return of 33.8% in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (83%)
• During the last 3 years, the total return is 42.1%, which is lower, thus worse than the value of 81.5% from the benchmark.

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.'

• Compared with the benchmark SPY (12.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 6% of GSRS Low Volatility Sub-strategy is lower, thus worse.
• Compared with SPY (22.1%) in the period of the last 3 years, the annual performance (CAGR) of 12.5% is lower, thus worse.

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.'

• The 30 days standard deviation over 5 years of GSRS Low Volatility Sub-strategy is 12.2%, which is lower, thus better compared to the benchmark SPY (17.1%) in the same period.
• During the last 3 years, the 30 days standard deviation is 10.6%, which is lower, thus better than the value of 15.3% 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 volatility over 5 years of GSRS Low Volatility Sub-strategy is 8.7%, which is lower, thus better compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside risk is 7.3%, which is smaller, thus better than the value of 10.2% 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.'

• Looking at the risk / return profile (Sharpe) of 0.29 in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
• Compared with SPY (1.28) in the period of the last 3 years, the Sharpe Ratio of 0.94 is lower, thus worse.

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.'

• The ratio of annual return and downside deviation over 5 years of GSRS Low Volatility Sub-strategy is 0.4, which is lower, thus worse compared to the benchmark SPY (0.88) in the same period.
• Looking at downside risk / excess return profile in of 1.37 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.93).

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 Index over 5 years of GSRS Low Volatility Sub-strategy is 6.62 , which is smaller, thus better compared to the benchmark SPY (8.45 ) in the same period.
• During the last 3 years, the Ulcer Index is 3.3 , which is larger, thus worse than the value of 3.22 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 (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -19.9 days of GSRS Low Volatility Sub-strategy is larger, thus better.
• Looking at maximum drop from peak to valley in of -10.2 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). 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'

• Looking at the maximum days under water of 539 days in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 160 days in the period of the last 3 years, we see it is relatively greater, 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 time in days below previous high water mark of 148 days in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (118 days)
• Looking at average days under water in of 40 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17 days).