Gold-Currency Strategy II

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.'

• The total return, or increase in value over 5 years of Gold-Currency Strategy II is 111.6%, which is lower, thus worse compared to the benchmark GLD (146.8%) in the same period.
• Looking at total return, or increase in value in of 120.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (128%).

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 compounded annual growth rate (CAGR) over 5 years of Gold-Currency Strategy II is 16.3%, which is lower, thus worse compared to the benchmark GLD (19.9%) in the same period.
• Looking at annual performance (CAGR) in of 30.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (31.8%).

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.'

• Compared with the benchmark GLD (18.5%) in the period of the last 5 years, the volatility of 15.2% of Gold-Currency Strategy II is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 18.6%, which is smaller, thus better than the value of 20.9% 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 (13%) in the period of the last 5 years, the downside risk of 10.8% of Gold-Currency Strategy II is smaller, thus better.
• Looking at downside volatility in of 13.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (14.8%).

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 Gold-Currency Strategy II is 0.91, which is lower, thus worse compared to the benchmark GLD (0.94) in the same period.
• Compared with GLD (1.4) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.5 is greater, thus better.

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.'

• Compared with the benchmark GLD (1.34) in the period of the last 5 years, the downside risk / excess return profile of 1.27 of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is 2.12, which is greater, thus better than the value of 1.98 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 (8.7 ) in the period of the last 5 years, the Downside risk index of 7.66 of Gold-Currency Strategy II is smaller, thus better.
• During the last 3 years, the Ulcer Ratio is 5.89 , which is smaller, thus better than the value of 7.73 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.'

• Compared with the benchmark GLD (-26.4 days) in the period of the last 5 years, the maximum DrawDown of -19.2 days of Gold-Currency Strategy II is greater, thus better.
• During the last 3 years, the maximum reduction from previous high is -19.2 days, which is larger, 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 time in days below previous high water mark of 590 days of Gold-Currency Strategy II is larger, thus worse.
• Looking at maximum days under water in of 134 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (134 days).

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.'

• The average days under water over 5 years of Gold-Currency Strategy II is 167 days, which is higher, thus worse compared to the benchmark GLD (101 days) in the same period.
• Compared with GLD (27 days) in the period of the last 3 years, the average time in days below previous high water mark of 27 days is higher, thus worse.