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, or increase in value over 5 years of Gold-Currency Strategy II is 112%, which is lower, thus worse compared to the benchmark GLD (133.8%) in the same period.
• Looking at total return in of 116% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (128.8%).

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 (18.6%) in the period of the last 5 years, the annual performance (CAGR) of 16.3% of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 29.5%, which is smaller, thus worse than the value of 32% from the benchmark.

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 15.2% in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus better in comparison to the benchmark GLD (18%)
• Looking at volatility in of 18.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (19.9%).

DownVol:

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

• Looking at the downside risk of 10.8% in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus better in comparison to the benchmark GLD (12.7%)
• During the last 3 years, the downside volatility is 13.3%, which is lower, thus better than the value of 14% from the benchmark.

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 0.91 in the last 5 years of Gold-Currency Strategy II, we see it is relatively greater, thus better in comparison to the benchmark GLD (0.89)
• During the last 3 years, the Sharpe Ratio is 1.44, which is smaller, thus worse than the value of 1.48 from the benchmark.

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.'

• Looking at the ratio of annual return and downside deviation of 1.27 in the last 5 years of Gold-Currency Strategy II, we see it is relatively higher, thus better in comparison to the benchmark GLD (1.27)
• Compared with GLD (2.1) in the period of the last 3 years, the downside risk / excess return profile of 2.03 is lower, thus worse.

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 (7.63 ) in the period of the last 5 years, the Downside risk index of 7.12 of Gold-Currency Strategy II is smaller, thus better.
• Looking at Ulcer Ratio in of 4.71 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (4.98 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum reduction from previous high over 5 years of Gold-Currency Strategy II is -19.2 days, which is higher, thus better compared to the benchmark GLD (-21 days) in the same period.
• Compared with GLD (-19.2 days) in the period of the last 3 years, the maximum drop from peak to valley of -19.2 days is larger, 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.'

• Looking at the maximum days under water of 590 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively larger, thus worse in comparison to the benchmark GLD (436 days)
• Looking at maximum time in days below previous high water mark in of 135 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (101 days).

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.'

• Looking at the average time in days below previous high water mark of 164 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively greater, thus worse in comparison to the benchmark GLD (108 days)
• During the last 3 years, the average time in days below previous high water mark is 31 days, which is greater, thus worse than the value of 25 days from the benchmark.