SPDR Gold Trust (GLD)

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 SPY (66.7%) in the period of the last 5 years, the total return of 6.4% of SPDR Gold Trust is lower, thus worse.
• Looking at total return, or increase in value in of 5.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (46%).

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.'

• The annual return (CAGR) over 5 years of SPDR Gold Trust is 1.3%, which is smaller, thus worse compared to the benchmark SPY (10.8%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 1.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.5%).

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 SPDR Gold Trust is 13%, which is lower, thus better compared to the benchmark SPY (13.4%) in the same period.
• Compared with SPY (12.3%) in the period of the last 3 years, the 30 days standard deviation of 10.6% is lower, thus better.

DownVol:

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

• The downside volatility over 5 years of SPDR Gold Trust is 12.8%, which is lower, thus better compared to the benchmark SPY (14.6%) in the same period.
• Looking at downside risk in of 11% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (13.9%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of -0.1 in the last 5 years of SPDR Gold Trust, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.62)
• Looking at Sharpe Ratio in of -0.06 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.89).

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.'

• Compared with the benchmark SPY (0.57) in the period of the last 5 years, the excess return divided by the downside deviation of -0.1 of SPDR Gold Trust is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.06, which is smaller, thus worse than the value of 0.79 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 SPY (3.99 ) in the period of the last 5 years, the Ulcer Index of 9.3 of SPDR Gold Trust is higher, thus worse.
• Looking at Downside risk index in of 8.14 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.04 ).

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 drop from peak to valley over 5 years of SPDR Gold Trust is -20.5 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• Looking at maximum drop from peak to valley in of -17.6 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-19.3 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.'

• The maximum days under water over 5 years of SPDR Gold Trust is 741 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 724 days, which is greater, thus worse than the value of 139 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.'

• Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days under water of 316 days of SPDR Gold Trust is larger, thus worse.
• During the last 3 years, the average days below previous high is 353 days, which is greater, thus worse than the value of 36 days from the benchmark.