Gold-Currency Strategy II

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.'

• Compared with the benchmark GLD (141.6%) in the period of the last 5 years, the total return, or performance of 111.7% of Gold-Currency Strategy II is lower, thus worse.
• Looking at total return, or increase in value in of 109.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (122.9%).

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 compounded annual growth rate (CAGR) over 5 years of Gold-Currency Strategy II is 16.2%, which is lower, thus worse compared to the benchmark GLD (19.4%) in the same period.
• Looking at annual return (CAGR) in of 28.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (30.8%).

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 Gold-Currency Strategy II is 15.2%, which is smaller, thus better compared to the benchmark GLD (18%) in the same period.
• Looking at 30 days standard deviation in of 18.7% in the period of the last 3 years, we see it is relatively lower, 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.'

• Compared with the benchmark GLD (12.6%) in the period of the last 5 years, the downside risk of 10.8% of Gold-Currency Strategy II is smaller, thus better.
• During the last 3 years, the downside risk is 13.3%, which is smaller, thus better than the value of 14% 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.'

• Compared with the benchmark GLD (0.94) in the period of the last 5 years, the Sharpe Ratio of 0.91 of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.37, which is smaller, thus worse than the value of 1.42 from the benchmark.

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 1.27 in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (1.34)
• Compared with GLD (2.02) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.93 is smaller, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of Gold-Currency Strategy II is 7.02 , which is smaller, thus better compared to the benchmark GLD (7.5 ) in the same period.
• Looking at Ulcer Index in of 4.65 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (4.84 ).

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.'

• Looking at the maximum reduction from previous high 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 (-21 days)
• Compared with GLD (-19.2 days) in the period of the last 3 years, the maximum reduction from previous high 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). 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'

• 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)
• During the last 3 years, the maximum days below previous high is 219 days, which is larger, thus worse than the value of 135 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 days below previous high over 5 years of Gold-Currency Strategy II is 164 days, which is higher, thus worse compared to the benchmark GLD (108 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 50 days, which is higher, thus worse than the value of 30 days from the benchmark.