Leveraged Gold-Currency Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark GLD (167.7%) in the period of the last 5 years, the total return of 145.6% of Leveraged Gold-Currency Strategy is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is 87.4%, which is smaller, thus worse than the value of 166.7% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of 19.8% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus worse in comparison to the benchmark GLD (21.9%)
• Looking at annual return (CAGR) in of 23.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (39%).

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 volatility over 5 years of Leveraged Gold-Currency Strategy is 12.2%, which is lower, thus better compared to the benchmark GLD (16.9%) in the same period.
• During the last 3 years, the historical 30 days volatility is 13%, which is lower, thus better than the value of 18.4% from the benchmark.

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.'

• Looking at the downside risk of 8.6% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (11.7%)
• During the last 3 years, the downside deviation is 9.1%, which is lower, thus better than the value of 12.6% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The risk / return profile (Sharpe) over 5 years of Leveraged Gold-Currency Strategy is 1.41, which is higher, thus better compared to the benchmark GLD (1.14) in the same period.
• Compared with GLD (1.98) in the period of the last 3 years, the Sharpe Ratio of 1.62 is smaller, thus worse.

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 downside risk / excess return profile over 5 years of Leveraged Gold-Currency Strategy is 2.02, which is higher, thus better compared to the benchmark GLD (1.66) in the same period.
• Looking at ratio of annual return and downside deviation in of 2.3 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (2.9).

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.'

• The Ulcer Ratio over 5 years of Leveraged Gold-Currency Strategy is 5.35 , which is lower, thus better compared to the benchmark GLD (7.11 ) in the same period.
• Compared with GLD (3.82 ) in the period of the last 3 years, the Ulcer Index of 4.26 is larger, thus worse.

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.'

• Compared with the benchmark GLD (-21 days) in the period of the last 5 years, the maximum drop from peak to valley of -15.3 days of Leveraged Gold-Currency Strategy is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -12 days, which is greater, thus better than the value of -13.9 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) in days.'

• Looking at the maximum time in days below previous high water mark of 471 days in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively greater, thus worse in comparison to the benchmark GLD (436 days)
• Looking at maximum days under water in of 234 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (145 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 112 days, which is larger, thus worse compared to the benchmark GLD (108 days) in the same period.
• Looking at average days under water in of 54 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (29 days).