Gold-Currency Strategy II

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 GLD (162%) in the period of the last 5 years, the total return, or performance of 116.7% of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the total return is 112.4%, which is lower, thus worse than the value of 129.3% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of 16.8% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (21.3%)
• During the last 3 years, the annual return (CAGR) is 28.8%, which is lower, thus worse than the value of 32.2% 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.'

• The historical 30 days volatility over 5 years of Gold-Currency Strategy II is 15%, which is smaller, thus better compared to the benchmark GLD (17.8%) in the same period.
• Looking at 30 days standard deviation in of 18.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (19.7%).

DownVol:

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

• Looking at the downside risk of 10.7% in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus better in comparison to the benchmark GLD (12.4%)
• During the last 3 years, the downside volatility is 13.3%, which is smaller, thus better than the value of 13.8% from the benchmark.

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.'

• Compared with the benchmark GLD (1.06) in the period of the last 5 years, the Sharpe Ratio of 0.95 of Gold-Currency Strategy II is lower, thus worse.
• Compared with GLD (1.51) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.41 is lower, 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.'

• The downside risk / excess return profile over 5 years of Gold-Currency Strategy II is 1.34, which is lower, thus worse compared to the benchmark GLD (1.52) in the same period.
• Compared with GLD (2.15) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.98 is lower, thus worse.

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.'

• Looking at the Downside risk index of 6.72 in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus better in comparison to the benchmark GLD (7.24 )
• Looking at Ulcer Ratio in of 4.27 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (4.44 ).

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.'

• The maximum drop from peak to valley over 5 years of Gold-Currency Strategy II is -19.2 days, which is greater, thus better compared to the benchmark GLD (-21 days) in the same period.
• During the last 3 years, the maximum DrawDown is -19.2 days, which is greater, thus better than the value of -19.2 days from the benchmark.

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 Gold-Currency Strategy II is 590 days, which is larger, thus worse compared to the benchmark GLD (436 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 227 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.'

• Compared with the benchmark GLD (108 days) in the period of the last 5 years, the average days under water of 164 days of Gold-Currency Strategy II is larger, thus worse.
• Looking at average days under water in of 51 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (30 days).