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.'

• The total return, or increase in value over 5 years of Gold-Currency Strategy II is 110.9%, which is smaller, thus worse compared to the benchmark GLD (145%) in the same period.
• Looking at total return, or increase in value in of 120.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (123.6%).

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.'

• Looking at the annual return (CAGR) of 16.2% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (19.7%)
• Compared with GLD (30.9%) in the period of the last 3 years, the annual performance (CAGR) of 30.2% is lower, thus worse.

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.'

• Compared with the benchmark GLD (18.8%) in the period of the last 5 years, the 30 days standard deviation of 15.2% of Gold-Currency Strategy II is lower, thus better.
• During the last 3 years, the volatility is 18.6%, which is smaller, thus better than the value of 21.4% from the benchmark.

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 deviation 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 (13.2%)
• Compared with GLD (15.2%) in the period of the last 3 years, the downside risk of 13.2% is smaller, thus better.

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.'

• The Sharpe Ratio over 5 years of Gold-Currency Strategy II is 0.9, which is lower, thus worse compared to the benchmark GLD (0.92) in the same period.
• Compared with GLD (1.33) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.49 is larger, 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 excess return divided by the downside deviation over 5 years of Gold-Currency Strategy II is 1.26, which is smaller, thus worse compared to the benchmark GLD (1.3) in the same period.
• Looking at ratio of annual return and downside deviation in of 2.1 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (1.87).

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 (9.06 ) in the period of the last 5 years, the Downside risk index of 7.89 of Gold-Currency Strategy II is lower, thus better.
• During the last 3 years, the Downside risk index is 6.39 , which is lower, thus better than the value of 8.42 from the benchmark.

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.'

• 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 (-26.4 days) in the same period.
• Compared with GLD (-26.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -19.2 days is higher, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark GLD (436 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 590 days of Gold-Currency Strategy II is higher, thus worse.
• Looking at maximum time in days below previous high water mark in of 160 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (160 days).

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 under water over 5 years of Gold-Currency Strategy II is 169 days, which is larger, thus worse compared to the benchmark GLD (104 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 33 days, which is higher, thus worse than the value of 32 days from the benchmark.