BUG Permanent Portfolio Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark AGG (-2%) in the period of the last 5 years, the total return of 42.1% of BUG Permanent Portfolio Strategy is greater, thus better.
• Looking at total return in of 39.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (14.7%).

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 AGG (-0.4%) in the period of the last 5 years, the annual performance (CAGR) of 7.3% of BUG Permanent Portfolio Strategy is greater, thus better.
• Looking at annual return (CAGR) in of 11.9% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (4.7%).

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.'

• The volatility over 5 years of BUG Permanent Portfolio Strategy is 7%, which is higher, thus worse compared to the benchmark AGG (6.1%) in the same period.
• Compared with AGG (6%) in the period of the last 3 years, the historical 30 days volatility of 6.6% is larger, thus worse.

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.'

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside deviation of 4.9% of BUG Permanent Portfolio Strategy is larger, thus worse.
• Compared with AGG (4%) in the period of the last 3 years, the downside deviation of 4.4% is larger, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The ratio of return and volatility (Sharpe) over 5 years of BUG Permanent Portfolio Strategy is 0.68, which is higher, thus better compared to the benchmark AGG (-0.48) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 1.43, which is larger, thus better than the value of 0.37 from the benchmark.

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 BUG Permanent Portfolio Strategy is 0.97, which is higher, thus better compared to the benchmark AGG (-0.68) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 2.11, which is larger, thus better than the value of 0.55 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.'

• Looking at the Ulcer Index of 4.49 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (9.24 )
• During the last 3 years, the Ulcer Index is 1.54 , which is smaller, thus better than the value of 2.32 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 DrawDown over 5 years of BUG Permanent Portfolio Strategy is -11 days, which is higher, thus better compared to the benchmark AGG (-18.1 days) in the same period.
• Compared with AGG (-7.4 days) in the period of the last 3 years, the maximum reduction from previous high of -4.7 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.'

• Compared with the benchmark AGG (1255 days) in the period of the last 5 years, the maximum days under water of 545 days of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at maximum days below previous high in of 94 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (195 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.'

• The average days under water over 5 years of BUG Permanent Portfolio Strategy is 144 days, which is smaller, thus better compared to the benchmark AGG (628 days) in the same period.
• During the last 3 years, the average days below previous high is 25 days, which is smaller, thus better than the value of 61 days from the benchmark.