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.'

• The total return, or increase in value over 5 years of Leveraged Gold-Currency Strategy is 94.6%, which is larger, thus better compared to the benchmark GLD (79.7%) in the same period.
• During the last 3 years, the total return, or performance is 43.4%, which is smaller, thus worse than the value of 50.7% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Leveraged Gold-Currency Strategy is 14.3%, which is larger, thus better compared to the benchmark GLD (12.5%) in the same period.
• Looking at annual performance (CAGR) in of 12.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (14.7%).

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 11.2% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (15.2%)
• Looking at historical 30 days volatility in of 11.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (14.1%).

DownVol:

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

• The downside volatility over 5 years of Leveraged Gold-Currency Strategy is 7.7%, which is lower, thus better compared to the benchmark GLD (10.7%) in the same period.
• During the last 3 years, the downside deviation is 7.7%, which is lower, thus better than the value of 9.4% from the benchmark.

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 (0.65) in the period of the last 5 years, the Sharpe Ratio of 1.05 of Leveraged Gold-Currency Strategy is larger, thus better.
• Compared with GLD (0.86) in the period of the last 3 years, the Sharpe Ratio of 0.93 is greater, 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 (0.93) in the period of the last 5 years, the downside risk / excess return profile of 1.53 of Leveraged Gold-Currency Strategy is greater, thus better.
• Compared with GLD (1.29) in the period of the last 3 years, the excess return divided by the downside deviation of 1.33 is larger, 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.'

• Looking at the Ulcer Index of 5.96 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (9.74 )
• Looking at Downside risk index in of 6.52 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (8.24 ).

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 greater, thus better.
• Looking at maximum reduction from previous high in of -15.2 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (-21 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days below previous high over 5 years of Leveraged Gold-Currency Strategy is 471 days, which is lower, thus better compared to the benchmark GLD (897 days) in the same period.
• Looking at maximum days under water 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.'

• Compared with the benchmark GLD (347 days) in the period of the last 5 years, the average days below previous high of 141 days of Leveraged Gold-Currency Strategy is lower, thus better.
• Looking at average time in days below previous high water mark in of 166 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (143 days).