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 (138.8%) in the period of the last 5 years, the total return, or performance of 119.5% of Leveraged Gold-Currency Strategy is lower, thus worse.
• Compared with GLD (119.7%) in the period of the last 3 years, the total return, or increase in value of 65.7% is smaller, thus worse.

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 (19.1%) in the period of the last 5 years, the annual performance (CAGR) of 17.1% of Leveraged Gold-Currency Strategy is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 18.5%, which is lower, thus worse than the value of 30.2% 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.'

• Looking at the historical 30 days volatility of 13% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (18.8%)
• Looking at historical 30 days volatility in of 13.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (21.4%).

DownVol:

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

• Looking at the downside risk of 9.3% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (13.2%)
• Looking at downside deviation in of 10.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (15.2%).

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.'

• Compared with the benchmark GLD (0.88) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.12 of Leveraged Gold-Currency Strategy is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 1.15, which is smaller, thus worse than the value of 1.29 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.'

• The ratio of annual return and downside deviation over 5 years of Leveraged Gold-Currency Strategy is 1.57, which is higher, thus better compared to the benchmark GLD (1.26) in the same period.
• During the last 3 years, the downside risk / excess return profile is 1.58, which is lower, thus worse than the value of 1.82 from the benchmark.

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 GLD (9.03 ) in the period of the last 5 years, the Ulcer Ratio of 6.33 of Leveraged Gold-Currency Strategy is smaller, thus better.
• During the last 3 years, the Downside risk index is 5.47 , which is lower, thus better than the value of 8.37 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 (-26.4 days) in the period of the last 5 years, the maximum DrawDown of -15.3 days of Leveraged Gold-Currency Strategy is larger, thus better.
• During the last 3 years, the maximum drop from peak to valley is -14.9 days, which is higher, thus better than the value of -26.4 days from the benchmark.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark GLD (436 days) in the period of the last 5 years, the maximum days below previous high of 471 days of Leveraged Gold-Currency Strategy is greater, thus worse.
• Looking at maximum days under water in of 158 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (158 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 under water over 5 years of Leveraged Gold-Currency Strategy is 120 days, which is larger, thus worse compared to the benchmark GLD (104 days) in the same period.
• Looking at average time in days below previous high water mark in of 39 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (32 days).