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.'

• Compared with the benchmark GLD (136.7%) in the period of the last 5 years, the total return, or increase in value of 118.9% of Leveraged Gold-Currency Strategy is lower, thus worse.
• Looking at total return in of 66.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (116.3%).

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 return (CAGR) of 17.1% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (18.9%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 18.6%, which is lower, thus worse than the value of 29.4% from the benchmark.

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.'

• Compared with the benchmark GLD (18.5%) in the period of the last 5 years, the historical 30 days volatility of 13% of Leveraged Gold-Currency Strategy is lower, thus better.
• Looking at historical 30 days volatility in of 13.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (20.9%).

DownVol:

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

• The downside volatility over 5 years of Leveraged Gold-Currency Strategy is 9.3%, which is smaller, thus better compared to the benchmark GLD (13%) in the same period.
• Looking at downside volatility in of 10.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (14.8%).

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.'

• The risk / return profile (Sharpe) over 5 years of Leveraged Gold-Currency Strategy is 1.12, which is higher, thus better compared to the benchmark GLD (0.88) in the same period.
• During the last 3 years, the Sharpe Ratio is 1.16, which is smaller, thus worse than the value of 1.29 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.'

• Compared with the benchmark GLD (1.26) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.56 of Leveraged Gold-Currency Strategy is higher, thus better.
• During the last 3 years, the downside risk / excess return profile is 1.6, which is lower, thus worse than the value of 1.82 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of Leveraged Gold-Currency Strategy is 5.98 , which is lower, thus better compared to the benchmark GLD (8.63 ) in the same period.
• Compared with GLD (7.6 ) in the period of the last 3 years, the Downside risk index of 4.77 is lower, thus better.

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 (-26.4 days) in the period of the last 5 years, the maximum reduction from previous high of -15.3 days of Leveraged Gold-Currency Strategy is greater, thus better.
• Looking at maximum drop from peak to valley in of -13.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (-26.4 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.'

• The maximum days under water over 5 years of Leveraged Gold-Currency Strategy is 471 days, which is larger, thus worse compared to the benchmark GLD (436 days) in the same period.
• During the last 3 years, the maximum days below previous high is 130 days, which is larger, thus worse than the value of 130 days from the benchmark.

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.'

• Looking at the average days under water of 117 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 (101 days)
• Compared with GLD (26 days) in the period of the last 3 years, the average time in days below previous high water mark of 34 days is higher, thus worse.