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.'

• The total return, or performance over 5 years of GSRS Unhedged Sub-strategy is 136.6%, which is greater, thus better compared to the benchmark SPY (67.8%) in the same period.
• During the last 3 years, the total return is 99.3%, which is higher, thus better than the value of 44.5% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of 18.8% in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.9%)
• During the last 3 years, the annual performance (CAGR) is 25.9%, which is larger, thus better than the value of 13.1% from the benchmark.

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.'

• The volatility over 5 years of GSRS Unhedged Sub-strategy is 18.7%, which is smaller, thus better compared to the benchmark SPY (21.4%) in the same period.
• Looking at historical 30 days volatility in of 16.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.8%).

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.'

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside volatility of 13.3% of GSRS Unhedged Sub-strategy is lower, thus better.
• Compared with SPY (13.3%) in the period of the last 3 years, the downside risk of 11.2% is lower, thus better.

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.'

• Looking at the risk / return profile (Sharpe) of 0.87 in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.39)
• Looking at ratio of return and volatility (Sharpe) in of 1.41 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.56).

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 downside risk / excess return profile of 1.23 in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.55)
• Compared with SPY (0.79) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.08 is greater, thus better.

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.'

• Compared with the benchmark SPY (9.46 ) in the period of the last 5 years, the Ulcer Ratio of 7 of GSRS Unhedged Sub-strategy is smaller, thus better.
• During the last 3 years, the Downside risk index is 7 , which is lower, thus better than the value of 10 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum reduction from previous high of -35.8 days in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• 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 (-24.5 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.'

• The maximum days below previous high over 5 years of GSRS Unhedged Sub-strategy is 278 days, which is lower, thus better compared to the benchmark SPY (352 days) in the same period.
• Compared with SPY (352 days) in the period of the last 3 years, the maximum days below previous high of 278 days is lower, thus better.

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.'

• The average time in days below previous high water mark over 5 years of GSRS Unhedged Sub-strategy is 57 days, which is lower, thus better compared to the benchmark SPY (78 days) in the same period.
• Compared with SPY (102 days) in the period of the last 3 years, the average time in days below previous high water mark of 74 days is lower, thus better.