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.'

• Compared with the benchmark GLD (131%) in the period of the last 5 years, the total return of 111.1% of Gold-Currency Strategy II is lower, thus worse.
• Looking at total return, or increase in value in of 120.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (124.1%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Gold-Currency Strategy II is 16.2%, which is lower, thus worse compared to the benchmark GLD (18.3%) in the same period.
• Compared with GLD (31%) in the period of the last 3 years, the annual performance (CAGR) of 30.2% is lower, thus worse.

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.'

• Compared with the benchmark GLD (18.9%) in the period of the last 5 years, the 30 days standard deviation 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 21.5% from the benchmark.

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.'

• The downside risk over 5 years of Gold-Currency Strategy II is 10.8%, which is smaller, thus better compared to the benchmark GLD (13.3%) in the same period.
• Looking at downside deviation in of 13.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (15.3%).

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 0.9, which is higher, thus better compared to the benchmark GLD (0.84) in the same period.
• Compared with GLD (1.32) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.49 is higher, thus better.

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.'

• The downside risk / excess return profile over 5 years of Gold-Currency Strategy II is 1.26, which is larger, thus better compared to the benchmark GLD (1.18) in the same period.
• Compared with GLD (1.86) in the period of the last 3 years, the downside risk / excess return profile of 2.1 is larger, thus better.

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.'

• The Ulcer Index over 5 years of Gold-Currency Strategy II is 7.98 , which is lower, thus better compared to the benchmark GLD (9.27 ) in the same period.
• Looking at Ulcer Ratio in of 6.58 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (8.77 ).

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 drop from peak to valley of -19.2 days of Gold-Currency Strategy II is higher, thus better.
• Compared with GLD (-26.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -19.2 days is larger, thus better.

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 days under water of 590 days of Gold-Currency Strategy II is greater, thus worse.
• Looking at maximum time in days below previous high water mark in of 170 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (170 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.'

• The average days under water over 5 years of Gold-Currency Strategy II is 171 days, which is greater, thus worse compared to the benchmark GLD (105 days) in the same period.
• Compared with GLD (35 days) in the period of the last 3 years, the average days under water of 36 days is higher, thus worse.