Gold-Currency Strategy II

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark GLD (176%) in the period of the last 5 years, the total return, or increase in value of 142.7% of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the total return is 128.8%, which is smaller, thus worse than the value of 165.7% 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.'

• Looking at the annual performance (CAGR) of 19.5% in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (22.6%)
• Looking at annual return (CAGR) in of 32% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (38.8%).

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.'

• Compared with the benchmark GLD (15.7%) in the period of the last 5 years, the volatility of 12.2% of Gold-Currency Strategy II is lower, thus better.
• Compared with GLD (16.6%) in the period of the last 3 years, the historical 30 days volatility of 15% 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 (10.6%) in the period of the last 5 years, the downside deviation of 8.1% of Gold-Currency Strategy II is lower, thus better.
• Compared with GLD (10.9%) in the period of the last 3 years, the downside deviation of 10% is smaller, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the ratio of return and volatility (Sharpe) of 1.4 in the last 5 years of Gold-Currency Strategy II, we see it is relatively greater, thus better in comparison to the benchmark GLD (1.28)
• Compared with GLD (2.19) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.96 is smaller, thus worse.

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 2.09, which is higher, thus better compared to the benchmark GLD (1.9) in the same period.
• Looking at excess return divided by the downside deviation in of 2.96 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (3.34).

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 Index over 5 years of Gold-Currency Strategy II is 6.44 , which is lower, thus better compared to the benchmark GLD (7.1 ) in the same period.
• During the last 3 years, the Ulcer Index is 4.72 , which is greater, thus worse than the value of 3.83 from the benchmark.

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 -13.8 days, which is larger, thus better compared to the benchmark GLD (-21 days) in the same period.
• Looking at maximum DrawDown in of -10.1 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (-11.3 days).

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'

• Compared with the benchmark GLD (436 days) in the period of the last 5 years, the maximum days below previous high of 590 days of Gold-Currency Strategy II is higher, thus worse.
• Compared with GLD (145 days) in the period of the last 3 years, the maximum days below previous high of 294 days is higher, thus worse.

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 165 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)
• Compared with GLD (29 days) in the period of the last 3 years, the average days below previous high of 75 days is greater, thus worse.