BUG Permanent Portfolio Strategy

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 BUG Permanent Portfolio Strategy is 38.8%, which is higher, thus better compared to the benchmark AGG (1.4%) in the same period.
• Compared with AGG (10.3%) in the period of the last 3 years, the total return of 37% is higher, thus better.

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 annual return (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 6.8%, which is higher, thus better compared to the benchmark AGG (0.3%) in the same period.
• Looking at annual performance (CAGR) in of 11.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (3.3%).

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 30 days standard deviation of 7.1% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively greater, thus worse in comparison to the benchmark AGG (6.1%)
• Compared with AGG (5.6%) in the period of the last 3 years, the 30 days standard deviation of 7.2% is greater, thus worse.

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 risk over 5 years of BUG Permanent Portfolio Strategy is 5%, which is higher, thus worse compared to the benchmark AGG (4.3%) in the same period.
• Compared with AGG (3.9%) in the period of the last 3 years, the downside deviation of 5.1% is higher, thus worse.

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.'

• The risk / return profile (Sharpe) over 5 years of BUG Permanent Portfolio Strategy is 0.61, which is greater, thus better compared to the benchmark AGG (-0.37) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 1.19, which is higher, thus better than the value of 0.15 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.'

• Looking at the downside risk / excess return profile of 0.86 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.52)
• During the last 3 years, the ratio of annual return and downside deviation is 1.7, which is larger, thus better than the value of 0.22 from the benchmark.

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 (8.98 ) in the period of the last 5 years, the Ulcer Index of 4.52 of BUG Permanent Portfolio Strategy is smaller, thus better.
• Compared with AGG (2.24 ) in the period of the last 3 years, the Downside risk index of 1.68 is smaller, thus better.

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.'

• Looking at the maximum drop from peak to valley of -11 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively greater, thus better in comparison to the benchmark AGG (-17.8 days)
• Looking at maximum drop from peak to valley in of -6.7 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-7.3 days).

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 AGG (1146 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 545 days of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at maximum days under water in of 94 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (195 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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 below previous high over 5 years of BUG Permanent Portfolio Strategy is 145 days, which is smaller, thus better compared to the benchmark AGG (532 days) in the same period.
• Looking at average days under water in of 21 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (61 days).