Gold-Currency Strategy II

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.'

• Looking at the total return, or increase in value of 46.8% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (75.4%)
• Looking at total return in of 16% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (40.9%).

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.'

• The annual return (CAGR) over 5 years of Gold-Currency Strategy II is 8%, which is lower, thus worse compared to the benchmark GLD (11.9%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 5.1%, which is smaller, thus worse than the value of 12.2% 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 volatility over 5 years of Gold-Currency Strategy II is 9.8%, which is smaller, thus better compared to the benchmark GLD (15.4%) in the same period.
• During the last 3 years, the volatility is 9.7%, which is lower, thus better than the value of 14.4% from the benchmark.

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 (10.8%) in the period of the last 5 years, the downside deviation of 7.2% of Gold-Currency Strategy II is smaller, thus better.
• Compared with GLD (9.8%) in the period of the last 3 years, the downside volatility of 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 Sharpe Ratio over 5 years of Gold-Currency Strategy II is 0.56, which is smaller, thus worse compared to the benchmark GLD (0.61) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.27 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (0.67).

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 Gold-Currency Strategy II is 0.76, which is smaller, thus worse compared to the benchmark GLD (0.87) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.37, which is lower, thus worse than the value of 0.99 from the benchmark.

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 (9.74 ) in the period of the last 5 years, the Downside risk index of 7.15 of Gold-Currency Strategy II is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 8.03 , which is lower, thus better than the value of 8.24 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum reduction from previous high over 5 years of Gold-Currency Strategy II is -13.8 days, which is higher, thus better compared to the benchmark GLD (-22 days) in the same period.
• Compared with GLD (-21 days) in the period of the last 3 years, the maximum reduction from previous high of -13.8 days is larger, 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). 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'

• The maximum days below previous high over 5 years of Gold-Currency Strategy II is 590 days, which is lower, thus better compared to the benchmark GLD (897 days) in the same period.
• During the last 3 years, the maximum days below previous high is 590 days, which is larger, thus worse than the value of 436 days from the benchmark.

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.'

• Looking at the average days below previous high of 215 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus better in comparison to the benchmark GLD (348 days)
• Looking at average time in days below previous high water mark in of 243 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (142 days).