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 (141.3%) in the period of the last 5 years, the total return, or performance of 111.6% of Gold-Currency Strategy II is smaller, thus worse.
• Compared with GLD (126.7%) in the period of the last 3 years, the total return, or increase in value of 121.1% is smaller, thus worse.

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.'

• The annual performance (CAGR) over 5 years of Gold-Currency Strategy II is 16.2%, which is lower, thus worse compared to the benchmark GLD (19.3%) in the same period.
• During the last 3 years, the annual return (CAGR) is 30.4%, which is lower, thus worse than the value of 31.5% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark GLD (18.5%) in the period of the last 5 years, the volatility of 15.2% of Gold-Currency Strategy II is smaller, thus better.
• Compared with GLD (20.9%) in the period of the last 3 years, the historical 30 days volatility of 18.6% is smaller, thus better.

DownVol:

'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.'

• Compared with the benchmark GLD (13%) in the period of the last 5 years, the downside risk of 10.8% of Gold-Currency Strategy II is lower, thus better.
• Compared with GLD (14.8%) in the period of the last 3 years, the downside volatility of 13.2% is lower, 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.'

• Compared with the benchmark GLD (0.91) in the period of the last 5 years, the Sharpe Ratio of 0.91 of Gold-Currency Strategy II is higher, thus better.
• Compared with GLD (1.39) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.5 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.'

• Looking at the downside risk / excess return profile of 1.27 in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (1.29)
• During the last 3 years, the downside risk / excess return profile is 2.12, which is greater, thus better than the value of 1.96 from the benchmark.

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 7.67 , which is lower, thus better compared to the benchmark GLD (8.73 ) in the same period.
• Compared with GLD (7.79 ) in the period of the last 3 years, the Downside risk index of 5.93 is lower, thus better.

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 DrawDown 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.
• During the last 3 years, the maximum DrawDown is -19.2 days, which is larger, thus better than the value of -26.4 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 time in days below previous high water mark over 5 years of Gold-Currency Strategy II is 590 days, which is higher, thus worse compared to the benchmark GLD (436 days) in the same period.
• Looking at maximum days below previous high in of 136 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (136 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.'

• Compared with the benchmark GLD (101 days) in the period of the last 5 years, the average days under water of 167 days of Gold-Currency Strategy II is larger, thus worse.
• During the last 3 years, the average days under water is 28 days, which is greater, thus worse than the value of 28 days from the benchmark.