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 (120.1%) in the period of the last 5 years, the total return of 132.4% of GSRS Unhedged Sub-strategy is greater, thus better.
• Looking at total return, or increase in value in of 21.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (65.1%).

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 18.4%, which is greater, thus better compared to the benchmark SPY (17.1%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 6.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.3%).

Volatility:

'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.'

• Compared with the benchmark SPY (17.6%) in the period of the last 5 years, the 30 days standard deviation of 15.1% of GSRS Unhedged Sub-strategy is lower, thus better.
• 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:

'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.'

• The downside volatility over 5 years of GSRS Unhedged Sub-strategy is 10.3%, which is lower, thus better compared to the benchmark SPY (12.1%) in the same period.
• Compared with SPY (11.6%) in the period of the last 3 years, the downside risk of 9.3% is smaller, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.83) in the period of the last 5 years, the Sharpe Ratio of 1.06 of GSRS Unhedged Sub-strategy is greater, thus better.
• Compared with SPY (0.9) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.33 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 ratio of annual return and downside deviation of 1.54 in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (1.21)
• Looking at ratio of annual return and downside deviation in of 0.46 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.36).

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.'

• The Downside risk index over 5 years of GSRS Unhedged Sub-strategy is 7.78 , which is lower, thus better compared to the benchmark SPY (8.48 ) in the same period.
• Compared with SPY (5.31 ) in the period of the last 3 years, the Downside risk index of 5.98 is higher, 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.'

• Looking at the maximum reduction from previous high of -20.1 days in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -15.8 days, which is higher, thus better than the value of -18.8 days from the benchmark.

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 days under water of 601 days in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 390 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 days).

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 (120 days) in the period of the last 5 years, the average days under water of 170 days of GSRS Unhedged Sub-strategy is larger, thus worse.
• Looking at average days below previous high in of 119 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (47 days).