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.'

• Compared with the benchmark SPY (94.2%) in the period of the last 5 years, the total return, or increase in value of 136.3% of GSRS Unhedged Sub-strategy is greater, thus better.
• Looking at total return in of 8.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (34.4%).

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.'

• Compared with the benchmark SPY (14.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 18.8% of GSRS Unhedged Sub-strategy is higher, thus better.
• Looking at compounded annual growth rate (CAGR) in of 2.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.4%).

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 19%, which is lower, thus better compared to the benchmark SPY (21%) in the same period.
• Compared with SPY (17.5%) in the period of the last 3 years, the 30 days standard deviation of 13.1% is lower, thus better.

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%) in the period of the last 5 years, the downside deviation of 13.5% of GSRS Unhedged Sub-strategy is lower, thus better.
• Looking at downside deviation in of 9.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.86 in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.56)
• Compared with SPY (0.45) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.03 is smaller, thus worse.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the excess return divided by the downside deviation of 1.2 in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.78)
• Looking at excess return divided by the downside deviation in of 0.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.64).

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 (9.33 ) in the period of the last 5 years, the Downside risk index of 8.2 of GSRS Unhedged Sub-strategy is lower, thus better.
• Compared with SPY (8.87 ) in the period of the last 3 years, the Downside risk index of 8.86 is lower, thus better.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -35.8 days of GSRS Unhedged Sub-strategy is smaller, thus worse.
• Compared with SPY (-22.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -20.1 days is higher, 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.'

• The maximum time in days below previous high water mark over 5 years of GSRS Unhedged Sub-strategy is 588 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (375 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 588 days is greater, thus worse.

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 larger, thus worse.
• Looking at average days under water in of 241 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (113 days).