BUG Permanent Portfolio Strategy

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.'

• Compared with the benchmark AGG (-0.9%) in the period of the last 5 years, the total return, or performance of 38.2% of BUG Permanent Portfolio Strategy is larger, thus better.
• Looking at total return, or performance in of 39.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (13.7%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 6.7%, which is higher, thus better compared to the benchmark AGG (-0.2%) in the same period.
• Compared with AGG (4.4%) in the period of the last 3 years, the annual performance (CAGR) of 11.7% is larger, thus better.

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 30 days standard deviation of 7.3% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively higher, thus worse in comparison to the benchmark AGG (6.1%)
• During the last 3 years, the historical 30 days volatility is 7.7%, which is greater, thus worse than the value of 5.4% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside volatility of 5.2% of BUG Permanent Portfolio Strategy is larger, thus worse.
• Compared with AGG (3.7%) in the period of the last 3 years, the downside deviation of 5.4% is higher, thus worse.

Sharpe:

'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.'

• Compared with the benchmark AGG (-0.44) in the period of the last 5 years, the Sharpe Ratio of 0.57 of BUG Permanent Portfolio Strategy is larger, thus better.
• During the last 3 years, the Sharpe Ratio is 1.19, which is larger, thus better than the value of 0.35 from the benchmark.

Sortino:

'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.'

• Looking at the excess return divided by the downside deviation of 0.81 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.62)
• During the last 3 years, the downside risk / excess return profile is 1.7, which is greater, thus better than the value of 0.51 from the benchmark.

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 Ratio over 5 years of BUG Permanent Portfolio Strategy is 4.55 , which is lower, thus better compared to the benchmark AGG (8.99 ) in the same period.
• During the last 3 years, the Ulcer Index is 1.83 , which is lower, thus better than the value of 1.96 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark AGG (-17.8 days) in the period of the last 5 years, the maximum drop from peak to valley of -11 days of BUG Permanent Portfolio Strategy is greater, thus better.
• Looking at maximum reduction from previous high in of -6.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (-6.1 days).

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 below previous high over 5 years of BUG Permanent Portfolio Strategy is 545 days, which is lower, thus better compared to the benchmark AGG (1146 days) in the same period.
• During the last 3 years, the maximum days under water is 94 days, which is lower, thus better than the value of 195 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.'

• Looking at the average days under water of 144 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (529 days)
• During the last 3 years, the average days below previous high is 24 days, which is lower, thus better than the value of 52 days from the benchmark.