Gold-Currency Strategy II

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 Gold-Currency Strategy II is 110.7%, which is lower, thus worse compared to the benchmark GLD (123.8%) in the same period.
• Looking at total return in of 119.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (110.3%).

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 GLD (17.6%) in the period of the last 5 years, the annual performance (CAGR) of 16.2% of Gold-Currency Strategy II is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 30.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (28.3%).

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 volatility of 15.2% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus better in comparison to the benchmark GLD (18.9%)
• Compared with GLD (21.5%) in the period of the last 3 years, the historical 30 days volatility of 18.6% is smaller, 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.'

• The downside volatility over 5 years of Gold-Currency Strategy II is 10.8%, which is lower, thus better compared to the benchmark GLD (13.4%) in the same period.
• During the last 3 years, the downside risk is 13.2%, which is lower, thus better than the value of 15.4% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the Sharpe Ratio of 0.9 in the last 5 years of Gold-Currency Strategy II, we see it is relatively greater, thus better in comparison to the benchmark GLD (0.8)
• Looking at risk / return profile (Sharpe) in of 1.49 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (1.2).

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 ratio of annual return and downside deviation over 5 years of Gold-Currency Strategy II is 1.26, which is higher, thus better compared to the benchmark GLD (1.13) in the same period.
• During the last 3 years, the downside risk / excess return profile is 2.1, which is larger, thus better than the value of 1.68 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.'

• Compared with the benchmark GLD (9.46 ) in the period of the last 5 years, the Ulcer Ratio of 8.06 of Gold-Currency Strategy II is smaller, thus better.
• Looking at Downside risk index in of 6.72 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (9.1 ).

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.'

• Looking at the maximum drop from peak to valley of -19.2 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively greater, thus better in comparison to the benchmark GLD (-26.4 days)
• Looking at maximum DrawDown in of -19.2 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (-26.4 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of Gold-Currency Strategy II is 590 days, which is greater, thus worse compared to the benchmark GLD (436 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 178 days, which is higher, thus worse than the value of 178 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.'

• The average time in days below previous high water mark over 5 years of Gold-Currency Strategy II is 172 days, which is larger, thus worse compared to the benchmark GLD (106 days) in the same period.
• During the last 3 years, the average days under water is 38 days, which is greater, thus worse than the value of 37 days from the benchmark.