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 (139.9%) in the period of the last 5 years, the total return, or performance of 111.4% of Gold-Currency Strategy II is lower, thus worse.
• Compared with GLD (119.3%) in the period of the last 3 years, the total return, or increase in value of 120% is larger, thus better.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark GLD (19.2%) in the period of the last 5 years, the annual performance (CAGR) of 16.2% of Gold-Currency Strategy II is lower, thus worse.
• Compared with GLD (30.1%) in the period of the last 3 years, the annual return (CAGR) of 30.2% is higher, thus better.

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 volatility over 5 years of Gold-Currency Strategy II is 15.2%, which is lower, thus better compared to the benchmark GLD (18.8%) in the same period.
• Compared with GLD (21.4%) in the period of the last 3 years, the volatility of 18.6% is lower, thus better.

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.'

• Compared with the benchmark GLD (13.2%) in the period of the last 5 years, the downside deviation of 10.8% of Gold-Currency Strategy II is lower, thus better.
• During the last 3 years, the downside deviation is 13.2%, which is lower, thus better than the value of 15.2% 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.'

• Compared with the benchmark GLD (0.89) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.91 of Gold-Currency Strategy II is larger, thus better.
• Compared with GLD (1.29) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.49 is higher, thus better.

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 excess return divided by the downside deviation over 5 years of Gold-Currency Strategy II is 1.27, which is higher, thus better compared to the benchmark GLD (1.26) in the same period.
• Compared with GLD (1.81) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.1 is higher, thus better.

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 (9.14 ) in the period of the last 5 years, the Ulcer Ratio of 7.93 of Gold-Currency Strategy II is lower, thus better.
• During the last 3 years, the Ulcer Index is 6.47 , which is smaller, thus better than the value of 8.55 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.'

• The maximum drop from peak to valley over 5 years of Gold-Currency Strategy II is -19.2 days, which is larger, thus better compared to the benchmark GLD (-26.4 days) in the same period.
• 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 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'

• The maximum time in days below previous high water mark over 5 years of Gold-Currency Strategy II is 590 days, which is larger, thus worse compared to the benchmark GLD (436 days) in the same period.
• Compared with GLD (164 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 164 days is larger, 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.'

• The average time in days below previous high water mark over 5 years of Gold-Currency Strategy II is 171 days, which is larger, thus worse compared to the benchmark GLD (105 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 34 days, which is greater, thus worse than the value of 33 days from the benchmark.