USD/AUD Forex (USDAUD.Forex)

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.'

• The total return over 5 years of USD/AUD Forex is 12.7%, which is lower, thus worse compared to the benchmark SPY (57.1%) in the same period.
• During the last 3 years, the total return, or increase in value is 13.7%, which is smaller, thus worse than the value of 32% 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 annual performance (CAGR) of 2.4% in the last 5 years of USD/AUD Forex, we see it is relatively lower, thus worse in comparison to the benchmark SPY (9.5%)
• During the last 3 years, the annual return (CAGR) is 4.4%, which is lower, thus worse than the value of 9.7% from the benchmark.

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.'

• Looking at the historical 30 days volatility of 10.8% in the last 5 years of USD/AUD Forex, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21.5%)
• Compared with SPY (17.9%) in the period of the last 3 years, the volatility of 11.2% is lower, thus better.

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.'

• Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside volatility of 7.3% of USD/AUD Forex is lower, thus better.
• Looking at downside volatility in of 7.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.5%).

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 risk / return profile (Sharpe) of -0.01 in the last 5 years of USD/AUD Forex, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.32)
• Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of 0.17 is lower, thus worse.

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 (0.45) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.01 of USD/AUD Forex is lower, thus worse.
• Compared with SPY (0.58) in the period of the last 3 years, the downside risk / excess return profile of 0.25 is lower, 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.'

• The Downside risk index over 5 years of USD/AUD Forex is 16 , which is higher, thus worse compared to the benchmark SPY (9.57 ) in the same period.
• Looking at Ulcer Index in of 6.2 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

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 -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)
• Looking at maximum reduction from previous high in of -13.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-24.5 days).

MaxDuration:

'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.'

• Compared with the benchmark SPY (439 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 891 days of USD/AUD Forex is higher, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 274 days, which is lower, thus better than the value of 439 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 (106 days) in the period of the last 5 years, the average days under water of 333 days of USD/AUD Forex is larger, thus worse.
• During the last 3 years, the average days below previous high is 99 days, which is lower, thus better than the value of 149 days from the benchmark.