GSRS Unhedged Sub-strategy

TotalReturn:

'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.'

• The total return over 5 years of GSRS Unhedged Sub-strategy is 128.8%, which is greater, thus better compared to the benchmark SPY (60.6%) in the same period.
• Looking at total return, or performance in of 63.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (38%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual performance (CAGR) over 5 years of GSRS Unhedged Sub-strategy is 18%, which is greater, thus better compared to the benchmark SPY (10%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 17.7%, which is greater, thus better than the value of 11.3% 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.'

• Looking at the 30 days standard deviation of 18.9% in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.5%)
• During the last 3 years, the historical 30 days volatility is 15.9%, which is lower, thus better than the value of 17.9% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside risk of 13.5% of GSRS Unhedged Sub-strategy is smaller, thus better.
• During the last 3 years, the downside risk is 10.8%, which is lower, thus better than the value of 12.5% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The ratio of return and volatility (Sharpe) over 5 years of GSRS Unhedged Sub-strategy is 0.82, which is larger, thus better compared to the benchmark SPY (0.35) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.96, which is larger, thus better than the value of 0.49 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of 1.16 in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.48)
• During the last 3 years, the ratio of annual return and downside deviation is 1.41, which is larger, thus better than the value of 0.71 from the benchmark.

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 7.53 , which is smaller, thus better compared to the benchmark SPY (9.55 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 7.83 , which is lower, thus better than the value of 10 from the benchmark.

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.'

• The maximum drop from peak to valley over 5 years of GSRS Unhedged Sub-strategy is -35.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -20.1 days is larger, thus better.

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 (431 days) in the period of the last 5 years, the maximum days under water of 357 days of GSRS Unhedged Sub-strategy is smaller, thus better.
• During the last 3 years, the maximum days under water is 357 days, which is smaller, thus better than the value of 431 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.'

• Looking at the average days below previous high of 79 days in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (105 days)
• Compared with SPY (144 days) in the period of the last 3 years, the average days below previous high of 107 days is lower, thus better.