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 (134.2%) in the period of the last 5 years, the total return, or performance of 111% of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 120.1%, which is smaller, thus worse than the value of 122.5% from the benchmark.

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 (18.6%) in the period of the last 5 years, the annual performance (CAGR) of 16.2% of Gold-Currency Strategy II is lower, thus worse.
• Compared with GLD (30.7%) in the period of the last 3 years, the annual performance (CAGR) of 30.2% 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.'

• The 30 days standard deviation over 5 years of Gold-Currency Strategy II is 15.2%, which is lower, thus better compared to the benchmark GLD (18.9%) in the same period.
• Looking at historical 30 days volatility in of 18.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (21.5%).

DownVol:

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

• Looking at the downside deviation of 10.8% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus better in comparison to the benchmark GLD (13.4%)
• Looking at downside volatility in of 13.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (15.3%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.9 in the last 5 years of Gold-Currency Strategy II, we see it is relatively larger, thus better in comparison to the benchmark GLD (0.85)
• Looking at Sharpe Ratio in of 1.49 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (1.31).

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.'

• Compared with the benchmark GLD (1.21) in the period of the last 5 years, the downside risk / excess return profile of 1.26 of Gold-Currency Strategy II is greater, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 2.1, which is greater, thus better than the value of 1.84 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 Downside risk index of 8.03 in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus better in comparison to the benchmark GLD (9.39 )
• During the last 3 years, the Ulcer Ratio is 6.67 , which is lower, thus better than the value of 8.98 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 DrawDown over 5 years of Gold-Currency Strategy II is -19.2 days, which is larger, thus better compared to the benchmark GLD (-26.4 days) in the same period.
• Looking at maximum DrawDown in of -19.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (-26.4 days).

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.'

• Looking at the maximum days under water of 590 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively larger, thus worse in comparison to the benchmark GLD (436 days)
• Looking at maximum days under water in of 175 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (175 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.'

• Looking at the average time in days below previous high water mark of 171 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively larger, thus worse in comparison to the benchmark GLD (106 days)
• Looking at average days below previous high in of 37 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (36 days).