US Dollar/Australian Dollar Forex

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (94.9%) in the period of the last 5 years, the total return of 3.6% of USD/AUD Forex is lower, thus worse.
- Looking at total return, or performance in of 12.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.5%).

'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.'

Using this definition on our asset we see for example:- The annual performance (CAGR) over 5 years of USD/AUD Forex is 0.7%, which is lower, thus worse compared to the benchmark SPY (14.3%) in the same period.
- Looking at annual performance (CAGR) in of 4.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (7%).

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Using this definition on our asset we see for example:- The historical 30 days volatility over 5 years of USD/AUD Forex is 10.8%, which is smaller, thus better compared to the benchmark SPY (20.9%) in the same period.
- During the last 3 years, the historical 30 days volatility is 11.1%, which is lower, thus better than the value of 17.5% from the benchmark.

'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.'

Which means for our asset as example:- The downside risk over 5 years of USD/AUD Forex is 7.4%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
- During the last 3 years, the downside volatility is 7.6%, which is lower, thus better than the value of 12.3% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The risk / return profile (Sharpe) over 5 years of USD/AUD Forex is -0.16, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
- During the last 3 years, the risk / return profile (Sharpe) is 0.15, which is lower, thus worse than the value of 0.26 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:- The downside risk / excess return profile over 5 years of USD/AUD Forex is -0.24, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
- Looking at ratio of annual return and downside deviation in of 0.21 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.37).

'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.'

Which means for our asset as example:- Looking at the Ulcer Ratio of 17 in the last 5 years of USD/AUD Forex, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.32 )
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 5.6 is lower, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum drop from peak to valley of -28 days in the last 5 years of USD/AUD Forex, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -13.2 days is greater, thus better.

'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'

Applying this definition to our asset in some examples:- The maximum time in days below previous high water mark over 5 years of USD/AUD Forex is 1103 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
- During the last 3 years, the maximum days under water is 454 days, which is lower, thus better than the value of 488 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days under water of 495 days of USD/AUD Forex is higher, thus worse.
- Compared with SPY (179 days) in the period of the last 3 years, the average days below previous high of 152 days is smaller, thus better.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of USD/AUD Forex are hypothetical and do not account for slippage, fees or taxes.