BUG Permanent Portfolio Strategy

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.'

• The total return, or increase in value over 5 years of BUG Permanent Portfolio Strategy is 51.9%, which is greater, thus better compared to the benchmark AGG (-1.7%) in the same period.
• Compared with AGG (18.5%) in the period of the last 3 years, the total return, or increase in value of 40.4% is higher, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The compounded annual growth rate (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 8.7%, which is larger, thus better compared to the benchmark AGG (-0.3%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 12% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (5.8%).

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 30 days standard deviation over 5 years of BUG Permanent Portfolio Strategy is 7%, which is greater, thus worse compared to the benchmark AGG (6.1%) in the same period.
• Compared with AGG (6.3%) in the period of the last 3 years, the volatility of 6.4% is greater, thus worse.

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 AGG (4.3%) in the period of the last 5 years, the downside risk of 4.9% of BUG Permanent Portfolio Strategy is greater, thus worse.
• Compared with AGG (4.1%) in the period of the last 3 years, the downside deviation of 4.3% is larger, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark AGG (-0.47) in the period of the last 5 years, the Sharpe Ratio of 0.9 of BUG Permanent Portfolio Strategy is greater, thus better.
• During the last 3 years, the Sharpe Ratio is 1.48, which is larger, thus better than the value of 0.53 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of BUG Permanent Portfolio Strategy is 1.28, which is greater, thus better compared to the benchmark AGG (-0.66) in the same period.
• Compared with AGG (0.81) in the period of the last 3 years, the excess return divided by the downside deviation of 2.22 is greater, thus better.

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.'

• Looking at the Ulcer Ratio of 4.47 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively smaller, thus better in comparison to the benchmark AGG (9.23 )
• Compared with AGG (2.32 ) in the period of the last 3 years, the Ulcer Ratio of 1.5 is lower, thus better.

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.'

• Looking at the maximum reduction from previous high of -11 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-18.1 days)
• During the last 3 years, the maximum reduction from previous high is -4.7 days, which is higher, thus better than the value of -7.4 days from the benchmark.

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 below previous high 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 (1219 days)
• During the last 3 years, the maximum days under water is 94 days, which is smaller, thus better than the value of 195 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 AGG (596 days) in the period of the last 5 years, the average days under water of 146 days of BUG Permanent Portfolio Strategy is smaller, thus better.
• Looking at average days under water in of 24 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (61 days).