Leveraged Gold-Currency 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.'

• The total return over 5 years of Leveraged Gold-Currency Strategy is 93.1%, which is greater, thus better compared to the benchmark GLD (79.1%) in the same period.
• Compared with GLD (29.8%) in the period of the last 3 years, the total return, or increase in value of 42.6% is higher, thus better.

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.'

• Looking at the annual return (CAGR) of 14.1% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (12.4%)
• Compared with GLD (9.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 12.6% is larger, thus better.

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.'

• The historical 30 days volatility over 5 years of Leveraged Gold-Currency Strategy is 11%, which is smaller, thus better compared to the benchmark GLD (15.1%) in the same period.
• Looking at volatility in of 10.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (13.8%).

DownVol:

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

• Looking at the downside volatility of 7.6% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (10.5%)
• Looking at downside volatility in of 7.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (9.4%).

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 GLD (0.65) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.05 of Leveraged Gold-Currency Strategy is greater, thus better.
• Compared with GLD (0.48) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.95 is greater, thus better.

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.'

• The downside risk / excess return profile over 5 years of Leveraged Gold-Currency Strategy is 1.53, which is greater, thus better compared to the benchmark GLD (0.94) in the same period.
• Looking at downside risk / excess return profile in of 1.36 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (0.7).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Downside risk index of 5.91 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (9.77 )
• During the last 3 years, the Ulcer Ratio is 6.39 , which is lower, thus better than the value of 8.62 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 DrawDown over 5 years of Leveraged Gold-Currency Strategy is -15.2 days, which is greater, thus better compared to the benchmark GLD (-22 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -15.2 days, which is higher, thus better than the value of -21 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.'

• The maximum days under water over 5 years of Leveraged Gold-Currency Strategy is 379 days, which is lower, thus better compared to the benchmark GLD (897 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 379 days, which is lower, thus better than the value of 436 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.'

• Compared with the benchmark GLD (349 days) in the period of the last 5 years, the average days below previous high of 110 days of Leveraged Gold-Currency Strategy is smaller, thus better.
• Looking at average days below previous high in of 113 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (160 days).