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 (131.4%) in the period of the last 5 years, the total return, or performance of 111.9% of Gold-Currency Strategy II is lower, thus worse.
• Looking at total return in of 117.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (128.2%).

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.'

• Looking at the annual return (CAGR) of 16.3% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (18.4%)
• Looking at annual return (CAGR) in of 29.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (31.8%).

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 volatility over 5 years of Gold-Currency Strategy II is 15.2%, which is lower, thus better compared to the benchmark GLD (18%) in the same period.
• During the last 3 years, the 30 days standard deviation is 18.7%, which is lower, thus better than the value of 19.9% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (12.7%) in the period of the last 5 years, the downside volatility of 10.8% of Gold-Currency Strategy II is smaller, thus better.
• Looking at downside risk in of 13.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (14%).

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.'

• Looking at the Sharpe Ratio of 0.91 in the last 5 years of Gold-Currency Strategy II, we see it is relatively greater, thus better in comparison to the benchmark GLD (0.88)
• Compared with GLD (1.47) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.46 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the downside risk / excess return profile of 1.27 in the last 5 years of Gold-Currency Strategy II, we see it is relatively larger, thus better in comparison to the benchmark GLD (1.25)
• During the last 3 years, the excess return divided by the downside deviation is 2.05, which is smaller, thus worse than the value of 2.09 from the benchmark.

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.'

• The Ulcer Index over 5 years of Gold-Currency Strategy II is 7.11 , which is lower, thus better compared to the benchmark GLD (7.62 ) in the same period.
• During the last 3 years, the Ulcer Index is 4.68 , which is lower, thus better than the value of 4.94 from the benchmark.

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.'

• 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.
• Compared with GLD (-19.2 days) in the period of the last 3 years, the maximum drop from peak to valley of -19.2 days is higher, thus better.

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 under water over 5 years of Gold-Currency Strategy II is 590 days, which is greater, thus worse compared to the benchmark GLD (436 days) in the same period.
• Compared with GLD (101 days) in the period of the last 3 years, the maximum days below previous high of 135 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 (108 days) in the period of the last 5 years, the average time in days below previous high water mark of 164 days of Gold-Currency Strategy II is higher, thus worse.
• Looking at average days below previous high in of 31 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (25 days).