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 112.4%, which is smaller, thus worse compared to the benchmark GLD (122%) in the same period.
• During the last 3 years, the total return, or increase in value is 121.4%, which is higher, thus better than the value of 109.6% 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.'

• Compared with the benchmark GLD (17.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 16.3% of Gold-Currency Strategy II is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 30.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (28.1%).

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 30 days standard deviation of 15.2% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus better in comparison to the benchmark GLD (18.3%)
• Looking at 30 days standard deviation in of 18.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (20.6%).

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.'

• 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 lower, thus better.
• During the last 3 years, the downside volatility is 13.2%, which is smaller, thus better than the value of 14.6% 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.'

• Compared with the benchmark GLD (0.81) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.91 of Gold-Currency Strategy II is higher, thus better.
• Looking at Sharpe Ratio in of 1.51 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (1.25).

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.'

• Looking at the ratio of annual return and downside deviation of 1.28 in the last 5 years of Gold-Currency Strategy II, we see it is relatively higher, thus better in comparison to the benchmark GLD (1.15)
• Looking at ratio of annual return and downside deviation in of 2.13 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (1.75).

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 7.41 in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus better in comparison to the benchmark GLD (8.03 )
• Looking at Ulcer Ratio in of 5.33 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (6.46 ).

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.'

• Compared with the benchmark GLD (-26.2 days) in the period of the last 5 years, the maximum DrawDown of -19.2 days of Gold-Currency Strategy II is higher, thus better.
• Compared with GLD (-26.2 days) in the period of the last 3 years, the maximum reduction from previous high of -19.2 days is greater, thus better.

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 time in days below previous high water mark over 5 years of Gold-Currency Strategy II is 590 days, which is larger, thus worse compared to the benchmark GLD (436 days) in the same period.
• Looking at maximum days under water in of 109 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (109 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.'

• Looking at the average days below previous high of 166 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively higher, thus worse in comparison to the benchmark GLD (100 days)
• Compared with GLD (25 days) in the period of the last 3 years, the average days below previous high of 23 days is lower, thus better.