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.'

• Looking at the total return, or performance of 118.6% in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (160.4%)
• Compared with GLD (134.4%) in the period of the last 3 years, the total return of 117.1% is smaller, thus worse.

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 annual performance (CAGR) over 5 years of Gold-Currency Strategy II is 17%, which is lower, thus worse compared to the benchmark GLD (21.2%) in the same period.
• Looking at annual return (CAGR) in of 29.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (33%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The historical 30 days volatility over 5 years of Gold-Currency Strategy II is 15.1%, which is smaller, thus better compared to the benchmark GLD (17.8%) in the same period.
• Compared with GLD (19.7%) in the period of the last 3 years, the historical 30 days volatility of 18.8% is lower, 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.'

• Looking at the downside volatility of 10.8% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus better in comparison to the benchmark GLD (12.5%)
• Compared with GLD (13.9%) in the period of the last 3 years, the downside deviation of 13.3% is lower, 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.'

• The Sharpe Ratio over 5 years of Gold-Currency Strategy II is 0.96, which is lower, thus worse compared to the benchmark GLD (1.05) in the same period.
• Looking at risk / return profile (Sharpe) in of 1.45 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.55).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the ratio of annual return and downside deviation of 1.34 in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (1.49)
• Looking at excess return divided by the downside deviation in of 2.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (2.2).

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.'

• The Ulcer Index over 5 years of Gold-Currency Strategy II is 6.83 , which is lower, thus better compared to the benchmark GLD (7.34 ) in the same period.
• During the last 3 years, the Downside risk index is 4.55 , which is lower, thus better than the value of 4.71 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 DrawDown over 5 years of Gold-Currency Strategy II is -19.2 days, which is larger, thus better compared to the benchmark GLD (-21 days) in the same period.
• 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 higher, 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) in days.'

• 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)
• Looking at maximum days under water in of 227 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (145 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.'

• Looking at the average time in days below previous high water mark of 164 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)
• Looking at average days under water in of 51 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (31 days).