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.'

Using this definition on our asset we see for example:- The total return over 5 years of USD/AUD Forex is 9.1%, which is lower, thus worse compared to the benchmark SPY (97%) in the same period.
- During the last 3 years, the total return is 17.7%, which is lower, thus worse than the value of 39.3% from the benchmark.

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 1.8% of USD/AUD Forex is lower, thus worse.
- During the last 3 years, the annual return (CAGR) is 5.6%, which is lower, thus worse than the value of 11.7% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the 30 days standard deviation of 10.7% in the last 5 years of USD/AUD Forex, we see it is relatively smaller, thus better in comparison to the benchmark SPY (20.9%)
- Looking at 30 days standard deviation in of 11.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.5%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 7.3% of USD/AUD Forex is lower, thus better.
- During the last 3 years, the downside deviation is 7.6%, which is lower, thus better than the value of 12.1% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.58) in the period of the last 5 years, the Sharpe Ratio of -0.07 of USD/AUD Forex is lower, thus worse.
- Looking at ratio of return and volatility (Sharpe) in of 0.28 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.53).

'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.'

Which means for our asset as example:- Looking at the downside risk / excess return profile of -0.1 in the last 5 years of USD/AUD Forex, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.8)
- Looking at downside risk / excess return profile in of 0.41 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.76).

'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:- The Downside risk index over 5 years of USD/AUD Forex is 16 , which is larger, thus worse compared to the benchmark SPY (9.33 ) in the same period.
- During the last 3 years, the Downside risk index is 5.11 , which is smaller, thus better than the value of 10 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum DrawDown of -28 days in the last 5 years of USD/AUD Forex, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum DrawDown is -13.2 days, which is higher, thus better than the value of -24.5 days from the benchmark.

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Which means for our asset as example:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 991 days of USD/AUD Forex is larger, thus worse.
- Looking at maximum days under water in of 342 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (488 days).

'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.'

Using this definition on our asset we see for example:- The average days below previous high over 5 years of USD/AUD Forex is 407 days, which is greater, thus worse compared to the benchmark SPY (123 days) in the same period.
- During the last 3 years, the average days below previous high is 95 days, which is smaller, thus better than the value of 181 days from the benchmark.

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, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.