GSRS Unhedged 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.'

• Compared with the benchmark SPY (91.8%) in the period of the last 5 years, the total return of 134.2% of GSRS Unhedged Sub-strategy is higher, thus better.
• Looking at total return, or performance in of 6.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (30.9%).

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.'

• The annual performance (CAGR) over 5 years of GSRS Unhedged Sub-strategy is 18.6%, which is greater, thus better compared to the benchmark SPY (13.9%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 2.2%, which is lower, thus worse than the value of 9.5% 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.'

• The volatility over 5 years of GSRS Unhedged Sub-strategy is 19%, which is lower, thus better compared to the benchmark SPY (21%) in the same period.
• Looking at 30 days standard deviation in of 13.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.5%).

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.'

• The downside deviation over 5 years of GSRS Unhedged Sub-strategy is 13.5%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
• During the last 3 years, the downside risk is 9.5%, which is smaller, thus better than the value of 12.3% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of GSRS Unhedged Sub-strategy is 0.85, which is higher, thus better compared to the benchmark SPY (0.54) in the same period.
• Compared with SPY (0.4) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.03 is lower, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of 1.19 in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.76)
• Compared with SPY (0.57) in the period of the last 3 years, the downside risk / excess return profile of -0.04 is smaller, 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.'

• The Ulcer Index over 5 years of GSRS Unhedged Sub-strategy is 8.2 , which is lower, thus better compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (8.89 ) in the period of the last 3 years, the Downside risk index of 8.87 is lower, thus better.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -35.8 days of GSRS Unhedged Sub-strategy is lower, thus worse.
• Looking at maximum DrawDown in of -20.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-22.4 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 below previous high of 588 days of GSRS Unhedged Sub-strategy is larger, thus worse.
• During the last 3 years, the maximum days under water is 588 days, which is larger, thus worse than the value of 375 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 (122 days) in the period of the last 5 years, the average days under water of 165 days of GSRS Unhedged Sub-strategy is higher, thus worse.
• Looking at average time in days below previous high water mark in of 242 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (114 days).