Gold-Currency Strategy II

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 over 5 years of Gold-Currency Strategy II is 37%, which is lower, thus worse compared to the benchmark GLD (63.6%) in the same period.
• Looking at total return in of 5.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (29.5%).

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 annual return (CAGR) over 5 years of Gold-Currency Strategy II is 6.5%, which is lower, thus worse compared to the benchmark GLD (10.4%) in the same period.
• Compared with GLD (9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 1.9% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the volatility of 9.6% in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus better in comparison to the benchmark GLD (15.3%)
• During the last 3 years, the volatility is 8.3%, which is lower, thus better than the value of 14.2% 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 lower, thus better.
• Looking at downside risk in of 6.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (9.7%).

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 ratio of return and volatility (Sharpe) over 5 years of Gold-Currency Strategy II is 0.42, which is lower, thus worse compared to the benchmark GLD (0.52) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.07, which is smaller, thus worse than the value of 0.46 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of Gold-Currency Strategy II is 0.56, which is smaller, thus worse compared to the benchmark GLD (0.73) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -0.1, which is smaller, thus worse than the value of 0.67 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Downside risk index of 7.22 in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus better in comparison to the benchmark GLD (9.79 )
• Compared with GLD (8.27 ) in the period of the last 3 years, the Ulcer Index of 7.99 is lower, thus better.

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.'

• Compared with the benchmark GLD (-22 days) in the period of the last 5 years, the maximum reduction from previous high of -13.8 days of Gold-Currency Strategy II is larger, thus better.
• During the last 3 years, the maximum drop from peak to valley is -13.8 days, which is greater, thus better than the value of -21 days from the benchmark.

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 under water 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.
• Looking at maximum time in days below previous high water mark in of 590 days in the period of the last 3 years, we see it is relatively greater, 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 Gold-Currency Strategy II is 216 days, which is lower, thus better compared to the benchmark GLD (346 days) in the same period.
• During the last 3 years, the average days below previous high is 244 days, which is higher, thus worse than the value of 142 days from the benchmark.