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.'

• The total return, or performance over 5 years of Gold-Currency Strategy II is 118.1%, which is lower, thus worse compared to the benchmark GLD (169%) in the same period.
• During the last 3 years, the total return, or increase in value is 117.5%, which is smaller, thus worse than the value of 134.8% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of 16.9% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (22%)
• Compared with GLD (33.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 29.8% 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.'

• Compared with the benchmark GLD (17.7%) in the period of the last 5 years, the volatility of 14.9% of Gold-Currency Strategy II is lower, thus better.
• Looking at historical 30 days volatility in of 18.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (19.6%).

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 Gold-Currency Strategy II is 10.6%, which is lower, thus better compared to the benchmark GLD (12.4%) in the same period.
• 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 (13.8%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Gold-Currency Strategy II is 0.97, which is lower, thus worse compared to the benchmark GLD (1.1) in the same period.
• During the last 3 years, the Sharpe Ratio is 1.46, which is smaller, thus worse than the value of 1.56 from the benchmark.

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 (1.57) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.36 of Gold-Currency Strategy II is lower, thus worse.
• Looking at downside risk / excess return profile in of 2.07 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (2.23).

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.'

• Compared with the benchmark GLD (7.21 ) in the period of the last 5 years, the Ulcer Ratio of 6.69 of Gold-Currency Strategy II is lower, thus better.
• During the last 3 years, the Ulcer Index is 4.19 , which is smaller, thus better than the value of 4.36 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of Gold-Currency Strategy II is -19.2 days, which is larger, thus better compared to the benchmark GLD (-21 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -19.2 days, which is larger, thus better than the value of -19.2 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.'

• 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.
• During the last 3 years, the maximum time in days below previous high water mark is 227 days, which is greater, thus worse than the value of 145 days from the benchmark.

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 (108 days) in the period of the last 5 years, the average time in days below previous high water mark of 165 days of Gold-Currency Strategy II is larger, thus worse.
• During the last 3 years, the average days under water is 50 days, which is higher, thus worse than the value of 30 days from the benchmark.