Leveraged Gold-Currency 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 GLD (76.7%) in the period of the last 5 years, the total return, or increase in value of 91.4% of Leveraged Gold-Currency Strategy is higher, thus better.
• Compared with GLD (24.8%) in the period of the last 3 years, the total return, or increase in value of 38.5% is higher, 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.'

• The annual performance (CAGR) over 5 years of Leveraged Gold-Currency Strategy is 13.9%, which is greater, thus better compared to the benchmark GLD (12.1%) in the same period.
• Compared with GLD (7.7%) in the period of the last 3 years, the annual performance (CAGR) of 11.5% is greater, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of Leveraged Gold-Currency Strategy is 11%, which is lower, thus better compared to the benchmark GLD (15.1%) in the same period.
• During the last 3 years, the 30 days standard deviation is 10.7%, which is lower, thus better than the value of 13.8% 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 deviation over 5 years of Leveraged Gold-Currency Strategy is 7.6%, which is smaller, thus better compared to the benchmark GLD (10.6%) in the same period.
• During the last 3 years, the downside risk is 7.5%, which is lower, thus better than the value of 9.5% 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.'

• The risk / return profile (Sharpe) over 5 years of Leveraged Gold-Currency Strategy is 1.03, which is higher, thus better compared to the benchmark GLD (0.63) in the same period.
• Compared with GLD (0.38) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.84 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.'

• Compared with the benchmark GLD (0.91) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.5 of Leveraged Gold-Currency Strategy is higher, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.21, which is larger, thus better than the value of 0.55 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark GLD (9.77 ) in the period of the last 5 years, the Downside risk index of 5.92 of Leveraged Gold-Currency Strategy is lower, thus better.
• Looking at Ulcer Index in of 6.42 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (8.64 ).

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.'

• Compared with the benchmark GLD (-22 days) in the period of the last 5 years, the maximum reduction from previous high of -15.2 days of Leveraged Gold-Currency Strategy is greater, thus better.
• During the last 3 years, the maximum DrawDown is -15.2 days, which is greater, thus better than the value of -21 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.'

• Compared with the benchmark GLD (897 days) in the period of the last 5 years, the maximum days under water of 387 days of Leveraged Gold-Currency Strategy is lower, thus better.
• Compared with GLD (436 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 387 days is lower, thus better.

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 (349 days) in the period of the last 5 years, the average days under water of 112 days of Leveraged Gold-Currency Strategy is lower, thus better.
• Looking at average time in days below previous high water mark in of 117 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (159 days).