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.'

• Looking at the total return, or performance of 111.6% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (117.5%)
• During the last 3 years, the total return, or increase in value is 121.3%, which is higher, thus better than the value of 102.9% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 16.2% in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (16.9%)
• Compared with GLD (26.7%) in the period of the last 3 years, the annual return (CAGR) of 30.5% 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.'

• Compared with the benchmark GLD (18.4%) in the period of the last 5 years, the volatility of 15.2% of Gold-Currency Strategy II is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 18.6%, which is lower, thus better than the value of 20.6% from the benchmark.

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.'

• The downside risk over 5 years of Gold-Currency Strategy II is 10.8%, which is lower, thus better compared to the benchmark GLD (13%) in the same period.
• Compared with GLD (14.7%) in the period of the last 3 years, the downside risk 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 (0.78) 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 (1.17) in the period of the last 3 years, the Sharpe Ratio of 1.51 is greater, 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.'

• 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 higher, thus better in comparison to the benchmark GLD (1.1)
• Looking at excess return divided by the downside deviation in of 2.12 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (1.64).

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 7.48 , which is smaller, thus better compared to the benchmark GLD (8.25 ) in the same period.
• Looking at Downside risk index in of 5.49 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (6.9 ).

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 -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 higher, thus better than the value of -26.4 days from the benchmark.

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.'

• The maximum time in days below previous high water mark over 5 years of Gold-Currency Strategy II is 590 days, which is greater, thus worse compared to the benchmark GLD (436 days) in the same period.
• During the last 3 years, the maximum days under water is 116 days, which is greater, thus worse than the value of 116 days from the benchmark.

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 (100 days) in the period of the last 5 years, the average time in days below previous high water mark of 166 days of Gold-Currency Strategy II is larger, thus worse.
• Compared with GLD (26 days) in the period of the last 3 years, the average days below previous high of 24 days is lower, thus better.