BUG Permanent Portfolio Strategy

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 54.2% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-2.3%)
• Looking at total return, or performance in of 11.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-5.3%).

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 AGG (-0.5%) in the period of the last 5 years, the annual performance (CAGR) of 9.1% of BUG Permanent Portfolio Strategy is greater, thus better.
• Compared with AGG (-1.8%) in the period of the last 3 years, the annual return (CAGR) of 3.8% is higher, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The historical 30 days volatility over 5 years of BUG Permanent Portfolio Strategy is 8.7%, which is larger, thus worse compared to the benchmark AGG (6.8%) in the same period.
• During the last 3 years, the volatility is 6.7%, which is smaller, thus better than the value of 7.1% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of BUG Permanent Portfolio Strategy is 6.5%, which is larger, thus worse compared to the benchmark AGG (5%) in the same period.
• Looking at downside risk in of 4.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (5%).

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 0.75 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.43)
• Compared with AGG (-0.61) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.19 is greater, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The downside risk / excess return profile over 5 years of BUG Permanent Portfolio Strategy is 1.01, which is greater, thus better compared to the benchmark AGG (-0.59) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.27 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-0.86).

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 AGG (9.27 ) in the period of the last 5 years, the Ulcer Ratio of 4.89 of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at Ulcer Index in of 4.66 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (8.59 ).

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 BUG Permanent Portfolio Strategy is -19.3 days, which is lower, thus worse compared to the benchmark AGG (-18.4 days) in the same period.
• Compared with AGG (-15.2 days) in the period of the last 3 years, the maximum reduction from previous high of -9.7 days is greater, 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 below previous high over 5 years of BUG Permanent Portfolio Strategy is 545 days, which is lower, thus better compared to the benchmark AGG (1120 days) in the same period.
• Compared with AGG (750 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 518 days is lower, thus better.

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 AGG (518 days) in the period of the last 5 years, the average days below previous high of 146 days of BUG Permanent Portfolio Strategy is smaller, thus better.
• Looking at average days under water in of 195 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (374 days).