BUG Permanent Portfolio Strategy

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 AGG (-0.9%) in the period of the last 5 years, the total return, or increase in value of 41.8% of BUG Permanent Portfolio Strategy is larger, thus better.
• Compared with AGG (11.3%) in the period of the last 3 years, the total return, or increase in value of 40.2% 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.'

• Looking at the annual performance (CAGR) of 7.3% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.2%)
• Looking at compounded annual growth rate (CAGR) in of 12% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (3.7%).

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 BUG Permanent Portfolio Strategy is 7.1%, which is higher, thus worse compared to the benchmark AGG (6.1%) in the same period.
• Compared with AGG (5.8%) in the period of the last 3 years, the 30 days standard deviation of 6.8% is higher, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside deviation of 5% of BUG Permanent Portfolio Strategy is greater, thus worse.
• Compared with AGG (4%) in the period of the last 3 years, the downside risk of 4.7% is greater, thus worse.

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 BUG Permanent Portfolio Strategy is 0.67, which is larger, thus better compared to the benchmark AGG (-0.44) in the same period.
• Compared with AGG (0.2) in the period of the last 3 years, the Sharpe Ratio of 1.4 is greater, thus better.

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 downside risk / excess return profile over 5 years of BUG Permanent Portfolio Strategy is 0.95, which is larger, thus better compared to the benchmark AGG (-0.63) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 2.03, which is greater, thus better than the value of 0.29 from the benchmark.

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 AGG (8.99 ) in the period of the last 5 years, the Ulcer Index of 4.49 of BUG Permanent Portfolio Strategy is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 1.47 , which is smaller, thus better than the value of 2.28 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum reduction from previous high over 5 years of BUG Permanent Portfolio Strategy is -11 days, which is greater, thus better compared to the benchmark AGG (-17.8 days) in the same period.
• Looking at maximum reduction from previous high in of -4.7 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-7.4 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) in days.'

• Looking at the maximum days under water of 545 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (1131 days)
• During the last 3 years, the maximum days below previous high is 94 days, which is lower, thus better than the value of 195 days from the benchmark.

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 days below previous high over 5 years of BUG Permanent Portfolio Strategy is 144 days, which is lower, thus better compared to the benchmark AGG (517 days) in the same period.
• During the last 3 years, the average days below previous high is 21 days, which is lower, thus better than the value of 61 days from the benchmark.