Leveraged Gold-Currency 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.'

• Compared with the benchmark GLD (73.5%) in the period of the last 5 years, the total return, or performance of 97.8% of Leveraged Gold-Currency Strategy is greater, thus better.
• Compared with GLD (44.9%) in the period of the last 3 years, the total return of 46.2% is larger, 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.'

• Compared with the benchmark GLD (11.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 14.6% of Leveraged Gold-Currency Strategy is larger, thus better.
• During the last 3 years, the annual return (CAGR) is 13.5%, which is larger, thus better than the value of 13.2% from the benchmark.

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 historical 30 days volatility over 5 years of Leveraged Gold-Currency Strategy is 11.3%, which is lower, thus better compared to the benchmark GLD (15.5%) in the same period.
• Compared with GLD (14.6%) in the period of the last 3 years, the volatility of 11.2% is smaller, thus better.

DownVol:

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

• Compared with the benchmark GLD (10.9%) in the period of the last 5 years, the downside risk of 7.8% of Leveraged Gold-Currency Strategy is smaller, thus better.
• During the last 3 years, the downside risk is 7.8%, which is smaller, thus better than the value of 9.9% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of 1.07 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (0.59)
• Compared with GLD (0.73) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.98 is higher, thus better.

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 ratio of annual return and downside deviation of 1.55 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (0.84)
• Compared with GLD (1.08) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.41 is higher, thus better.

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 GLD (9.77 ) in the period of the last 5 years, the Ulcer Ratio of 5.96 of Leveraged Gold-Currency Strategy is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 6.51 , which is lower, thus better than the value of 8.25 from the benchmark.

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.'

• Compared with the benchmark GLD (-22 days) in the period of the last 5 years, the maximum reduction from previous high of -15.2 days of Leveraged Gold-Currency Strategy is higher, thus better.
• Compared with GLD (-21 days) in the period of the last 3 years, the maximum DrawDown 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.'

• Looking at the maximum days under water of 471 days in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (897 days)
• Looking at maximum time in days below previous high water mark in of 471 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (436 days).

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 below previous high over 5 years of Leveraged Gold-Currency Strategy is 141 days, which is lower, thus better compared to the benchmark GLD (347 days) in the same period.
• Compared with GLD (142 days) in the period of the last 3 years, the average time in days below previous high water mark of 167 days is greater, thus worse.