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.'

• Compared with the benchmark GLD (82.8%) in the period of the last 5 years, the total return, or increase in value of 40.3% of Gold-Currency Strategy II is smaller, thus worse.
• Compared with GLD (59.5%) in the period of the last 3 years, the total return of 28.7% is smaller, thus worse.

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.'

• Compared with the benchmark GLD (12.8%) in the period of the last 5 years, the annual performance (CAGR) of 7% of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is 8.8%, which is smaller, thus worse than the value of 16.8% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 9.9% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus better in comparison to the benchmark GLD (13.5%)
• Compared with GLD (13%) in the period of the last 3 years, the historical 30 days volatility of 10.3% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of Gold-Currency Strategy II is 6.6%, which is lower, thus better compared to the benchmark GLD (9%) in the same period.
• During the last 3 years, the downside volatility is 7%, which is lower, thus better than the value of 8.7% from the benchmark.

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.'

• Compared with the benchmark GLD (0.77) in the period of the last 5 years, the Sharpe Ratio of 0.45 of Gold-Currency Strategy II is lower, thus worse.
• Compared with GLD (1.1) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.61 is lower, thus worse.

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 excess return divided by the downside deviation over 5 years of Gold-Currency Strategy II is 0.69, which is lower, thus worse compared to the benchmark GLD (1.15) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.9, which is smaller, thus worse than the value of 1.65 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.'

• Looking at the Ulcer Ratio of 4.43 in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus better in comparison to the benchmark GLD (6.96 )
• Compared with GLD (5.54 ) in the period of the last 3 years, the Ulcer Ratio of 2.93 is lower, thus better.

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 (-17.8 days) in the period of the last 5 years, the maximum drop from peak to valley of -12.5 days of Gold-Currency Strategy II is larger, thus better.
• During the last 3 years, the maximum drop from peak to valley is -12.5 days, which is higher, thus better than the value of -13.8 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 (741 days) in the period of the last 5 years, the maximum days below previous high of 606 days of Gold-Currency Strategy II is lower, thus better.
• Compared with GLD (352 days) in the period of the last 3 years, the maximum days below previous high of 299 days is lower, thus better.

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 time in days below previous high water mark over 5 years of Gold-Currency Strategy II is 188 days, which is lower, thus better compared to the benchmark GLD (242 days) in the same period.
• During the last 3 years, the average days below previous high is 87 days, which is lower, thus better than the value of 104 days from the benchmark.