GSRS Unhedged 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.'

• Looking at the total return, or increase in value of 42.4% in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (75.3%)
• Looking at total return in of 36.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (66.5%).

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.'

• The annual return (CAGR) over 5 years of GSRS Unhedged Sub-strategy is 7.3%, which is lower, thus worse compared to the benchmark SPY (11.9%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 10.9%, which is lower, thus worse than the value of 18.6% from the benchmark.

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 historical 30 days volatility over 5 years of GSRS Unhedged Sub-strategy is 13.6%, which is lower, thus better compared to the benchmark SPY (17%) in the same period.
• During the last 3 years, the historical 30 days volatility is 13.1%, which is smaller, thus better than the value of 15.1% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 risk of 9.8% of GSRS Unhedged Sub-strategy is lower, thus better.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside risk of 9.3% is lower, 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 Sharpe Ratio of 0.36 in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
• Looking at ratio of return and volatility (Sharpe) in of 0.65 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.06).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (0.8) in the period of the last 5 years, the excess return divided by the downside deviation of 0.5 of GSRS Unhedged Sub-strategy is lower, thus worse.
• Compared with SPY (1.59) in the period of the last 3 years, the excess return divided by the downside deviation of 0.91 is smaller, thus worse.

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 7.89 in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.44 )
• Compared with SPY (3.49 ) in the period of the last 3 years, the Ulcer Index of 3.62 is larger, thus worse.

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 (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -20.1 days of GSRS Unhedged Sub-strategy is larger, thus better.
• Looking at maximum drop from peak to valley in of -10.8 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 Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 601 days of GSRS Unhedged Sub-strategy is larger, thus worse.
• During the last 3 years, the maximum days under water is 160 days, which is larger, 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days under water of 167 days of GSRS Unhedged Sub-strategy is higher, thus worse.
• Compared with SPY (20 days) in the period of the last 3 years, the average time in days below previous high water mark of 36 days is larger, thus worse.