GSRS Low Volatility Sub-strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (87.4%) in the period of the last 5 years, the total return of 71.4% of GSRS Low Volatility Sub-strategy is lower, thus worse.
• During the last 3 years, the total return is 7%, which is lower, thus worse than the value of 25.4% from the benchmark.

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 annual return (CAGR) of 11.4% in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (13.4%)
• During the last 3 years, the annual return (CAGR) is 2.3%, which is lower, thus worse than the value of 7.8% from the benchmark.

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.'

• Looking at the historical 30 days volatility of 16.4% in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (20.9%)
• Looking at 30 days standard deviation in of 12.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.3%).

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.'

• Looking at the downside deviation of 11.8% in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside volatility is 8.7%, which is smaller, thus better than the value of 12.1% 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 0.54 in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.52)
• During the last 3 years, the risk / return profile (Sharpe) is -0.02, which is smaller, thus worse than the value of 0.31 from the benchmark.

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 ratio of annual return and downside deviation over 5 years of GSRS Low Volatility Sub-strategy is 0.75, which is greater, thus better compared to the benchmark SPY (0.73) in the same period.
• Compared with SPY (0.44) in the period of the last 3 years, the downside risk / excess return profile of -0.02 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Index of 6.5 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 (9.33 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 6.95 is lower, thus better.

MaxDD:

'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.'

• Looking at the maximum drop from peak to valley 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)
• Looking at maximum drop from peak to valley in of -19.9 days in the period of the last 3 years, we see it is relatively higher, thus better 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 under water of 464 days of GSRS Low Volatility Sub-strategy is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 464 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (488 days).

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 days below previous high of 114 days in the last 5 years of GSRS Low Volatility Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (123 days)
• Looking at average days under water in of 167 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (179 days).