BUG Permanent Portfolio Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or performance of 44.2% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (2%)
• Looking at total return, or increase in value in of 42.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (15.6%).

CAGR:

'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.'

• Compared with the benchmark AGG (0.4%) in the period of the last 5 years, the annual performance (CAGR) of 7.6% of BUG Permanent Portfolio Strategy is larger, thus better.
• Looking at annual return (CAGR) in of 12.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (5%).

Volatility:

'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.'

• The volatility over 5 years of BUG Permanent Portfolio Strategy is 7.1%, which is higher, thus worse compared to the benchmark AGG (6%) in the same period.
• Compared with AGG (5.7%) in the period of the last 3 years, the volatility of 7% is larger, thus worse.

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 AGG (4.3%) in the period of the last 5 years, the downside deviation of 5% of BUG Permanent Portfolio Strategy is larger, thus worse.
• Compared with AGG (3.9%) in the period of the last 3 years, the downside deviation of 4.8% is greater, thus worse.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of BUG Permanent Portfolio Strategy is 0.72, which is higher, thus better compared to the benchmark AGG (-0.35) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.46 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (0.44).

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.'

• Compared with the benchmark AGG (-0.49) in the period of the last 5 years, the excess return divided by the downside deviation of 1.02 of BUG Permanent Portfolio Strategy is higher, thus better.
• Compared with AGG (0.64) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.11 is greater, thus better.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Index of 4.47 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively smaller, thus better in comparison to the benchmark AGG (8.98 )
• Looking at Downside risk index in of 1.46 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (2.24 ).

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.'

• The maximum DrawDown over 5 years of BUG Permanent Portfolio Strategy is -11 days, which is higher, thus better compared to the benchmark AGG (-17.8 days) in the same period.
• Looking at maximum drop from peak to valley in of -4.7 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-7.4 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.'

• Compared with the benchmark AGG (1146 days) in the period of the last 5 years, the maximum days under water of 545 days of BUG Permanent Portfolio Strategy is smaller, thus better.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 94 days is lower, thus better.

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 AGG (531 days) in the period of the last 5 years, the average days below previous high of 144 days of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at average time in days below previous high water mark in of 20 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (61 days).