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, or performance over 5 years of Gold-Currency Strategy II is 116.8%, which is lower, thus worse compared to the benchmark GLD (155.5%) in the same period.
• During the last 3 years, the total return, or increase in value is 115.9%, which is lower, thus worse than the value of 133.1% from the benchmark.

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.'

• Compared with the benchmark GLD (20.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 16.8% of Gold-Currency Strategy II is lower, thus worse.
• Looking at annual return (CAGR) in of 29.5% in the period of the last 3 years, we see it is relatively lower, 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 volatility over 5 years of Gold-Currency Strategy II is 15.1%, which is lower, thus better compared to the benchmark GLD (17.8%) in the same period.
• Looking at historical 30 days volatility in of 18.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (19.7%).

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.'

• The downside deviation over 5 years of Gold-Currency Strategy II is 10.8%, which is smaller, thus better compared to the benchmark GLD (12.5%) in the same period.
• Compared with GLD (13.9%) in the period of the last 3 years, the downside deviation of 13.3% is smaller, thus better.

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 Sharpe Ratio over 5 years of Gold-Currency Strategy II is 0.95, which is smaller, thus worse compared to the benchmark GLD (1.02) in the same period.
• Looking at Sharpe Ratio in of 1.44 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.54).

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.'

• Compared with the benchmark GLD (1.46) in the period of the last 5 years, the downside risk / excess return profile of 1.33 of Gold-Currency Strategy II is lower, thus worse.
• Compared with GLD (2.19) in the period of the last 3 years, the excess return divided by the downside deviation of 2.03 is smaller, thus worse.

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.'

• The Ulcer Ratio over 5 years of Gold-Currency Strategy II is 6.81 , which is lower, thus better compared to the benchmark GLD (7.32 ) in the same period.
• Looking at Downside risk index in of 4.49 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (4.65 ).

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.'

• Looking at the maximum reduction from previous high of -19.2 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively higher, thus better in comparison to the benchmark GLD (-21 days)
• During the last 3 years, the maximum reduction from previous high is -19.2 days, which is higher, thus better than the value of -19.2 days from the benchmark.

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 days below previous high 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 (145 days) in the period of the last 3 years, the maximum days under water of 227 days is greater, 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 165 days of Gold-Currency Strategy II is higher, thus worse.
• Compared with GLD (31 days) in the period of the last 3 years, the average days under water of 51 days is larger, thus worse.