Gold-Currency Strategy II

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 increase in value of 119.7% in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (164.1%)
• Compared with GLD (133%) in the period of the last 3 years, the total return of 115.8% is lower, thus worse.

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.'

• Compared with the benchmark GLD (21.5%) in the period of the last 5 years, the annual return (CAGR) of 17.1% of Gold-Currency Strategy II is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 29.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (32.8%).

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 lower, 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 (19.6%).

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 GLD (12.4%) in the period of the last 5 years, the downside risk of 10.7% of Gold-Currency Strategy II is lower, thus better.
• Compared with GLD (13.8%) in the period of the last 3 years, the downside deviation of 13.2% is lower, thus better.

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.'

• Compared with the benchmark GLD (1.07) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.98 of Gold-Currency Strategy II is lower, thus worse.
• Compared with GLD (1.54) in the period of the last 3 years, the Sharpe Ratio of 1.44 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 ratio of annual return and downside deviation over 5 years of Gold-Currency Strategy II is 1.37, which is smaller, thus worse compared to the benchmark GLD (1.53) in the same period.
• Looking at ratio of annual return and downside deviation in of 2.03 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (2.19).

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.'

• Compared with the benchmark GLD (7.26 ) in the period of the last 5 years, the Ulcer Index of 6.74 of Gold-Currency Strategy II is smaller, thus better.
• Looking at Downside risk index in of 4.32 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (4.48 ).

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 GLD (-21 days) in the period of the last 5 years, the maximum DrawDown of -19.2 days of Gold-Currency Strategy II is higher, thus better.
• Looking at maximum reduction from previous high in of -19.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (-19.2 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 Gold-Currency Strategy II is 590 days, which is higher, thus worse compared to the benchmark GLD (436 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 227 days, which is higher, thus worse than the value of 145 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 164 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively higher, thus worse in comparison to the benchmark GLD (108 days)
• Looking at average days below previous high in of 50 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (30 days).