BUG 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.'

• The total return, or performance over 5 years of BUG Permanent Portfolio Strategy is 53.9%, which is higher, thus better compared to the benchmark AGG (-2.4%) in the same period.
• Looking at total return, or performance in of 11.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-5.3%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 9%, which is larger, thus better compared to the benchmark AGG (-0.5%) in the same period.
• Compared with AGG (-1.8%) in the period of the last 3 years, the annual return (CAGR) of 3.6% is higher, thus better.

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.'

• Looking at the volatility of 8.7% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus worse in comparison to the benchmark AGG (6.8%)
• Compared with AGG (7.1%) in the period of the last 3 years, the historical 30 days volatility of 6.7% is lower, thus better.

DownVol:

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

• Looking at the downside deviation of 6.5% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus worse in comparison to the benchmark AGG (5%)
• During the last 3 years, the downside deviation is 4.8%, which is smaller, thus better than the value of 5% 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.'

• Compared with the benchmark AGG (-0.44) in the period of the last 5 years, the Sharpe Ratio of 0.75 of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.17, which is higher, thus better than the value of -0.61 from the benchmark.

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 AGG (-0.59) in the period of the last 5 years, the downside risk / excess return profile of 1 of BUG Permanent Portfolio Strategy is higher, thus better.
• Compared with AGG (-0.86) in the period of the last 3 years, the downside risk / excess return profile of 0.23 is larger, 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 AGG (9.27 ) in the period of the last 5 years, the Downside risk index of 4.89 of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at Downside risk 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 (8.6 ).

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 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 drop from peak to valley of -9.7 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.'

• Looking at the maximum days under water of 545 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (1119 days)
• During the last 3 years, the maximum time in days below previous high water mark is 518 days, which is lower, thus better than the value of 749 days from the benchmark.

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 time in days below previous high water mark over 5 years of BUG Permanent Portfolio Strategy is 146 days, which is lower, thus better compared to the benchmark AGG (517 days) in the same period.
• During the last 3 years, the average days below previous high is 195 days, which is lower, thus better than the value of 374 days from the benchmark.