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 over 5 years of GSRS Unhedged Sub-strategy is 149%, which is higher, thus better compared to the benchmark SPY (86.8%) in the same period.
• Looking at total return, or increase in value in of 7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (26.3%).

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.'

• The annual performance (CAGR) over 5 years of GSRS Unhedged Sub-strategy is 20%, which is larger, thus better compared to the benchmark SPY (13.3%) in the same period.
• Compared with SPY (8.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 2.3% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• 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 smaller, thus better in comparison to the benchmark SPY (20.9%)
• Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 13.1% is lower, thus better.

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.'

• Looking at the downside risk of 13.4% in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside volatility is 9.4%, which is lower, thus better than the value of 12.1% 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 0.93, which is greater, thus better compared to the benchmark SPY (0.52) in the same period.
• Compared with SPY (0.32) in the period of the last 3 years, the Sharpe Ratio of -0.02 is lower, 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 downside risk / excess return profile of 1.31 in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.72)
• Looking at ratio of annual return and downside deviation in of -0.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.46).

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 Ulcer Index over 5 years of GSRS Unhedged Sub-strategy is 8.13 , which is lower, thus better compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 8.89 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 (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -20.1 days is greater, thus better.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 506 days of GSRS Unhedged Sub-strategy is greater, thus worse.
• During the last 3 years, the maximum days below previous high is 506 days, which is higher, thus worse than the value of 488 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.'

• The average days below previous high over 5 years of GSRS Unhedged Sub-strategy is 129 days, which is higher, thus worse compared to the benchmark SPY (122 days) in the same period.
• Looking at average days under water in of 188 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (178 days).