Leveraged Gold-Currency 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.'

• The total return over 5 years of Leveraged Gold-Currency Strategy is 145%, which is smaller, thus worse compared to the benchmark GLD (153.1%) in the same period.
• Looking at total return, or performance in of 83% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (147.4%).

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 GLD (20.5%) in the period of the last 5 years, the annual return (CAGR) of 19.7% of Leveraged Gold-Currency Strategy is smaller, thus worse.
• Looking at annual performance (CAGR) in of 22.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (35.5%).

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.'

• The volatility over 5 years of Leveraged Gold-Currency Strategy is 11.7%, which is lower, thus better compared to the benchmark GLD (15.7%) in the same period.
• During the last 3 years, the volatility is 12.1%, which is smaller, thus better than the value of 16.5% from the benchmark.

DownVol:

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

• Looking at the downside deviation of 8% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (10.6%)
• Compared with GLD (10.9%) in the period of the last 3 years, the downside deviation of 8.2% is lower, thus better.

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 GLD (1.15) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.48 of Leveraged Gold-Currency Strategy is greater, thus better.
• Compared with GLD (2) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.64 is smaller, thus worse.

Sortino:

'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.'

• Compared with the benchmark GLD (1.7) in the period of the last 5 years, the excess return divided by the downside deviation of 2.16 of Leveraged Gold-Currency Strategy is higher, thus better.
• Looking at excess return divided by the downside deviation in of 2.42 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (3.03).

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.'

• Looking at the Ulcer Ratio of 5.33 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (7.13 )
• Looking at Ulcer Index in of 4.26 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (3.83 ).

MaxDD:

'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.'

• Compared with the benchmark GLD (-21 days) in the period of the last 5 years, the maximum drop from peak to valley of -15.3 days of Leveraged Gold-Currency Strategy is greater, thus better.
• Looking at maximum DrawDown in of -12 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (-11.3 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). 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'

• Looking at the maximum time in days below previous high water mark of 471 days in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively higher, thus worse in comparison to the benchmark GLD (436 days)
• Looking at maximum days below previous high in of 234 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (145 days).

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.'

• The average days under water over 5 years of Leveraged Gold-Currency Strategy is 111 days, which is larger, thus worse compared to the benchmark GLD (108 days) in the same period.
• Looking at average time in days below previous high water mark in of 54 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (29 days).