GSRS Low Volatility 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 36.9% 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 (82.3%)
• During the last 3 years, the total return is 39.7%, which is smaller, thus worse than the value of 69.4% from the benchmark.

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 6.5% 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 (12.8%)
• Looking at annual performance (CAGR) in of 11.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.3%).

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.'

• 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 (17.2%) in the same period.
• Looking at volatility in of 10.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.3%).

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 (11.8%) in the period of the last 5 years, the downside deviation of 8.7% of GSRS Low Volatility Sub-strategy is smaller, thus better.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside deviation of 7.4% is smaller, thus better.

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 0.33 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 (0.6)
• Looking at ratio of return and volatility (Sharpe) in of 0.87 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.09).

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 downside risk / excess return profile over 5 years of GSRS Low Volatility Sub-strategy is 0.46, which is lower, thus worse compared to the benchmark SPY (0.87) in the same period.
• Looking at excess return divided by the downside deviation in of 1.26 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.62).

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.'

• Looking at the Ulcer Index of 6.62 in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.45 )
• Looking at Downside risk index in of 3.42 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (3.53 ).

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.'

• Looking at the maximum reduction from previous high of -19.9 days in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown 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) in days.'

• Looking at the maximum time in days below previous high water mark 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)
• During the last 3 years, the maximum time in days below previous high water mark is 132 days, which is higher, thus worse than the value of 87 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.'

• Looking at the average time in days below previous high water mark of 149 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 (119 days)
• Looking at average time in days below previous high water mark in of 34 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).