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.'

• The total return, or increase in value over 5 years of SPDR Gold Trust is 98.8%, which is lower, thus worse compared to the benchmark SPY (164.3%) in the same period.
• During the last 3 years, the total return, or increase in value is 54.1%, which is higher, thus better than the value of 32.2% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of 14.8% in the last 5 years of SPDR Gold Trust, we see it is relatively lower, thus worse in comparison to the benchmark SPY (21.5%)
• Compared with SPY (9.8%) in the period of the last 3 years, the annual performance (CAGR) of 15.6% is greater, thus better.

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.'

• Compared with the benchmark SPY (18.2%) in the period of the last 5 years, the volatility of 15.2% of SPDR Gold Trust is lower, thus better.
• Looking at historical 30 days volatility in of 14.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17%).

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.'

• Looking at the downside risk of 10.5% in the last 5 years of SPDR Gold Trust, we see it is relatively lower, thus better in comparison to the benchmark SPY (12.2%)
• During the last 3 years, the downside risk is 9.7%, which is smaller, thus better than the value of 12% 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.'

• Compared with the benchmark SPY (1.04) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.81 of SPDR Gold Trust is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.91 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.43).

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.'

• The excess return divided by the downside deviation over 5 years of SPDR Gold Trust is 1.17, which is lower, thus worse compared to the benchmark SPY (1.55) in the same period.
• Compared with SPY (0.61) in the period of the last 3 years, the downside risk / excess return profile of 1.35 is greater, thus better.

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.'

• The Ulcer Index over 5 years of SPDR Gold Trust is 9.75 , which is greater, thus worse compared to the benchmark SPY (8.29 ) in the same period.
• During the last 3 years, the Ulcer Index is 6.66 , which is lower, thus better than the value of 8.63 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 reduction from previous high over 5 years of SPDR Gold Trust is -22 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -18.1 days is larger, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum time in days below previous high water mark over 5 years of SPDR Gold Trust is 897 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 235 days, which is lower, thus better than the value of 325 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.'

• Looking at the average time in days below previous high water mark of 348 days in the last 5 years of SPDR Gold Trust, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average days below previous high is 62 days, which is lower, thus better than the value of 89 days from the benchmark.