Gold-Currency Strategy II

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return over 5 years of Gold-Currency Strategy II is 47.8%, which is lower, thus worse compared to the benchmark GLD (79%) in the same period.
• Compared with GLD (29.2%) in the period of the last 3 years, the total return, or increase in value of 6.5% is lower, thus worse.

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 (12.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 8.1% of Gold-Currency Strategy II is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 2.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (8.9%).

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 historical 30 days volatility over 5 years of Gold-Currency Strategy II is 9.3%, which is smaller, thus better compared to the benchmark GLD (15.1%) in the same period.
• Compared with GLD (13.8%) in the period of the last 3 years, the volatility of 6.8% is lower, thus better.

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 Gold-Currency Strategy II is 6.8%, which is smaller, thus better compared to the benchmark GLD (10.5%) in the same period.
• During the last 3 years, the downside deviation is 5%, which is smaller, thus better than the value of 9.4% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of Gold-Currency Strategy II is 0.61, which is smaller, thus worse compared to the benchmark GLD (0.65) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of -0.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (0.47).

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 (0.94) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.83 of Gold-Currency Strategy II is smaller, thus worse.
• Compared with GLD (0.68) in the period of the last 3 years, the excess return divided by the downside deviation of -0.07 is smaller, 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 Ulcer Ratio of 7.16 in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus better in comparison to the benchmark GLD (9.77 )
• Compared with GLD (8.63 ) in the period of the last 3 years, the Ulcer Index of 7.9 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.'

• Looking at the maximum reduction from previous high of -13.8 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively larger, thus better in comparison to the benchmark GLD (-22 days)
• Looking at maximum reduction from previous high in of -13.8 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (-21 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'

• The maximum time in days below previous high water mark over 5 years of Gold-Currency Strategy II is 534 days, which is lower, thus better compared to the benchmark GLD (897 days) in the same period.
• Compared with GLD (436 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 534 days is larger, thus worse.

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 (349 days) in the period of the last 5 years, the average days under water of 193 days of Gold-Currency Strategy II is smaller, thus better.
• Looking at average days under water in of 207 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (160 days).