SPDR Gold Trust (GLD)

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.'

• Looking at the total return, or performance of 37.2% in the last 5 years of SPDR Gold Trust, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (63%)
• Looking at total return, or performance in of 16.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (33.5%).

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.'

• Compared with the benchmark SPY (10.3%) in the period of the last 5 years, the annual return (CAGR) of 6.5% of SPDR Gold Trust is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.3%, which is lower, thus worse than the value of 10.1% from the benchmark.

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 (21.6%) in the period of the last 5 years, the volatility of 14.5% of SPDR Gold Trust is lower, thus better.
• Looking at 30 days standard deviation in of 16.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (25.1%).

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 volatility of 10.3% in the last 5 years of SPDR Gold Trust, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.6%)
• Compared with SPY (18.1%) in the period of the last 3 years, the downside volatility of 11.9% is lower, thus better.

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 (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.28 of SPDR Gold Trust is lower, thus worse.
• Compared with SPY (0.3) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.17 is lower, thus worse.

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 ratio of annual return and downside deviation over 5 years of SPDR Gold Trust is 0.39, which is lower, thus worse compared to the benchmark SPY (0.5) in the same period.
• Compared with SPY (0.42) in the period of the last 3 years, the excess return divided by the downside deviation of 0.24 is smaller, thus worse.

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 9.93 in the last 5 years of SPDR Gold Trust, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.88 )
• Looking at Ulcer Ratio in of 12 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11 ).

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.'

• Looking at the maximum DrawDown of -22 days in the last 5 years of SPDR Gold Trust, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -22 days, which is greater, thus better than the value of -33.7 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.'

• The maximum days under water over 5 years of SPDR Gold Trust is 628 days, which is larger, thus worse compared to the benchmark SPY (273 days) in the same period.
• Compared with SPY (273 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 628 days is greater, thus worse.

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 SPY (57 days) in the period of the last 5 years, the average days under water of 216 days of SPDR Gold Trust is larger, thus worse.
• During the last 3 years, the average days under water is 276 days, which is higher, thus worse than the value of 73 days from the benchmark.