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 (154%) in the period of the last 5 years, the total return, or performance of 112.6% of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 121.2%, which is smaller, thus worse than the value of 140.8% from the benchmark.

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 16.3%, which is smaller, thus worse compared to the benchmark GLD (20.6%) in the same period.
• Compared with GLD (34.2%) in the period of the last 3 years, the annual performance (CAGR) of 30.4% 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 (18.7%) in the period of the last 5 years, the historical 30 days volatility of 15.2% of Gold-Currency Strategy II is smaller, thus better.
• Compared with GLD (21.1%) in the period of the last 3 years, the 30 days standard deviation of 18.6% is lower, thus better.

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 (13.1%) in the period of the last 5 years, the downside deviation of 10.8% of Gold-Currency Strategy II is smaller, thus better.
• During the last 3 years, the downside deviation is 13.2%, which is lower, thus better than the value of 14.8% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Gold-Currency Strategy II is 0.91, which is lower, thus worse compared to the benchmark GLD (0.97) in the same period.
• Looking at risk / return profile (Sharpe) in of 1.5 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (1.5).

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.'

• The ratio of annual return and downside deviation over 5 years of Gold-Currency Strategy II is 1.28, which is lower, thus worse compared to the benchmark GLD (1.38) in the same period.
• Compared with GLD (2.14) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.12 is lower, 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 7.72 , which is smaller, thus better compared to the benchmark GLD (8.8 ) in the same period.
• During the last 3 years, the Downside risk index is 6.03 , which is lower, thus better than the value of 7.91 from the benchmark.

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 DrawDown 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 greater, thus better in comparison to GLD (-26.4 days).

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.'

• Looking at the maximum time in days below previous high water mark of 590 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 (436 days)
• Looking at maximum days under water in of 141 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (141 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 (102 days) in the period of the last 5 years, the average time in days below previous high water mark of 168 days of Gold-Currency Strategy II is higher, thus worse.
• Compared with GLD (29 days) in the period of the last 3 years, the average days below previous high of 29 days is higher, thus worse.