Leveraged Gold-Currency 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 performance of 89.8% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (80.7%)
• Looking at total return, or performance in of 48.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (51.4%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark GLD (12.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 13.7% of Leveraged Gold-Currency Strategy is larger, thus better.
• Looking at compounded annual growth rate (CAGR) in of 14.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (14.9%).

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 30 days standard deviation over 5 years of Leveraged Gold-Currency Strategy is 10.9%, which is lower, thus better compared to the benchmark GLD (14.9%) in the same period.
• During the last 3 years, the volatility is 11.2%, which is lower, thus better than the value of 14.3% from the benchmark.

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 risk over 5 years of Leveraged Gold-Currency Strategy is 7.6%, which is smaller, thus better compared to the benchmark GLD (10.5%) in the same period.
• Compared with GLD (9.7%) in the period of the last 3 years, the downside risk of 7.7% is lower, thus better.

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.'

• The risk / return profile (Sharpe) over 5 years of Leveraged Gold-Currency Strategy is 1.03, which is higher, thus better compared to the benchmark GLD (0.68) in the same period.
• Compared with GLD (0.87) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.05 is larger, thus better.

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 (0.96) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.47 of Leveraged Gold-Currency Strategy is higher, thus better.
• Looking at downside risk / excess return profile in of 1.52 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (1.29).

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 Downside risk index over 5 years of Leveraged Gold-Currency Strategy is 5.93 , which is smaller, thus better compared to the benchmark GLD (9.75 ) in the same period.
• Compared with GLD (6.67 ) in the period of the last 3 years, the Downside risk index of 6.52 is smaller, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of Leveraged Gold-Currency Strategy is -15.2 days, which is greater, thus better compared to the benchmark GLD (-22 days) in the same period.
• Compared with GLD (-18.1 days) in the period of the last 3 years, the maximum reduction from previous high of -15.2 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.'

• The maximum days below previous high over 5 years of Leveraged Gold-Currency Strategy is 471 days, which is smaller, thus better compared to the benchmark GLD (897 days) in the same period.
• Compared with GLD (235 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 471 days is larger, thus worse.

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 under water over 5 years of Leveraged Gold-Currency Strategy is 141 days, which is smaller, thus better compared to the benchmark GLD (347 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 168 days, which is higher, thus worse than the value of 62 days from the benchmark.