This is the low volatility version of the Global Sector Rotation Strategy and is used as a sub-strategy. It picks on a monthly basis the top two performing global sectors.

EEM – iShares MSCI Emerging Markets

DBEM – Emerging Markets Equity Fund

EPP – iShares MSCI Pacific ex-Japan

DBAP – MSCI AC Asia Pacific ex Japan Hedged Equity Fund

FEZ – SPDR Euro STOXX 50

HEDJ – Europe Hedged Equity Fund

IHDG – WisdomTree Int’l Hedged Quality Divident ETF

MDY – S&P MidCap 400

From the HEDGE sub-strategy:

GLD – SPDR Gold Shares

TLT– iShares Barclays Long-Term Treasury (15-18yr)

From the Short Sectors sub-strategy:

SMN - ProShares UltraShort Basic Materials

ERY - Direxion Daily Energy Bear 3X ETF

SKF - ProShares UltraShort Financials

SIJ - ProShares UltraShort Industrial

REW - ProShares UltraShort Technolog

RXD - ProShares UltraShort Health Car

SCC - ProShares UltraShort Consumer Service

SDP - ProShares UltraShort Utilitie

SZK - ProShares UltraShort Consumer Goods

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (67.8%) in the period of the last 5 years, the total return, or performance of 72.5% of GSRS Low Volatility Sub-strategy is higher, thus better.
- Compared with SPY (44.5%) in the period of the last 3 years, the total return of 44.8% is greater, thus better.

'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.'

Using this definition on our asset we see for example:- The compounded annual growth rate (CAGR) over 5 years of GSRS Low Volatility Sub-strategy is 11.5%, which is greater, thus better compared to the benchmark SPY (10.9%) in the same period.
- Looking at annual performance (CAGR) in of 13.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (13.1%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the 30 days standard deviation of 16.4% of GSRS Low Volatility Sub-strategy is lower, thus better.
- Looking at historical 30 days volatility in of 13.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.8%).

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

Applying this definition to our asset in some examples:- The downside risk over 5 years of GSRS Low Volatility Sub-strategy is 11.8%, which is smaller, thus better compared to the benchmark SPY (15.4%) in the same period.
- During the last 3 years, the downside deviation is 9.4%, which is lower, thus better than the value of 13.3% from the benchmark.

'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.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of GSRS Low Volatility Sub-strategy is 0.55, which is greater, thus better compared to the benchmark SPY (0.39) in the same period.
- Compared with SPY (0.56) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.8 is higher, thus better.

'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.'

Applying this definition to our asset in some examples:- The ratio of annual return and downside deviation over 5 years of GSRS Low Volatility Sub-strategy is 0.76, which is higher, thus better compared to the benchmark SPY (0.55) in the same period.
- Compared with SPY (0.79) in the period of the last 3 years, the excess return divided by the downside deviation of 1.13 is higher, thus better.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (9.46 ) in the period of the last 5 years, the Downside risk index of 6.16 of GSRS Low Volatility Sub-strategy is smaller, thus better.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 6.35 is lower, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum reduction from previous high of -33 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 (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -19.9 days is greater, thus better.

'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.'

Which means for our asset as example:- The maximum days below previous high over 5 years of GSRS Low Volatility Sub-strategy is 285 days, which is smaller, thus better compared to the benchmark SPY (352 days) in the same period.
- Looking at maximum days under water in of 285 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (352 days).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (78 days) in the period of the last 5 years, the average days under water of 63 days of GSRS Low Volatility Sub-strategy is smaller, thus better.
- Compared with SPY (102 days) in the period of the last 3 years, the average days under water of 82 days is smaller, thus better.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of GSRS Low Volatility Sub-strategy are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.