Enhanced Permanent Portfolio Strategy

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 SPY (90.1%) in the period of the last 5 years, the total return, or performance of 61.9% of Enhanced Permanent Portfolio Strategy is lower, thus worse.
• During the last 3 years, the total return, or performance is 66.6%, which is lower, thus worse than the value of 86.8% 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 SPY (13.8%) in the period of the last 5 years, the annual return (CAGR) of 10.2% of Enhanced Permanent Portfolio Strategy is smaller, thus worse.
• During the last 3 years, the annual return (CAGR) is 18.6%, which is lower, thus worse than the value of 23.2% from the benchmark.

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 9.7% of Enhanced Permanent Portfolio Strategy is lower, thus better.
• Looking at volatility in of 10.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.2%).

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.'

• The downside deviation over 5 years of Enhanced Permanent Portfolio Strategy is 6.8%, which is smaller, thus better compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside deviation in of 7.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.1%).

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 SPY (0.66) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.79 of Enhanced Permanent Portfolio Strategy is greater, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 1.59 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.36).

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 SPY (0.96) in the period of the last 5 years, the excess return divided by the downside deviation of 1.13 of Enhanced Permanent Portfolio Strategy is larger, thus better.
• Compared with SPY (2.05) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.29 is greater, thus better.

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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 5.04 of Enhanced Permanent Portfolio Strategy is smaller, thus better.
• Compared with SPY (3.22 ) in the period of the last 3 years, the Ulcer Ratio of 3.34 is greater, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum reduction from previous high over 5 years of Enhanced Permanent Portfolio Strategy is -14.9 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -10.5 days, which is greater, thus better than the value of -18.8 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 436 days of Enhanced Permanent Portfolio Strategy is lower, thus better.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 175 days is higher, 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.'

• The average days under water over 5 years of Enhanced Permanent Portfolio Strategy is 106 days, which is lower, thus better compared to the benchmark SPY (118 days) in the same period.
• During the last 3 years, the average days under water is 32 days, which is higher, thus worse than the value of 17 days from the benchmark.