Enhanced Permanent Portfolio Strategy

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 over 5 years of Enhanced Permanent Portfolio Strategy is 55.8%, which is lower, thus worse compared to the benchmark SPY (115.8%) in the same period.
• Looking at total return, or performance in of 29.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (57%).

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 SPY (16.7%) in the period of the last 5 years, the annual return (CAGR) of 9.3% of Enhanced Permanent Portfolio Strategy is lower, thus worse.
• Compared with SPY (16.3%) in the period of the last 3 years, the annual return (CAGR) of 9% is smaller, 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.'

• Looking at the 30 days standard deviation of 8.5% in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (18.8%)
• During the last 3 years, the 30 days standard deviation is 9.7%, which is smaller, thus better than the value of 22.5% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside risk of 6.3% in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.7%)
• Looking at downside risk in of 7.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.4%).

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.'

• Looking at the Sharpe Ratio of 0.8 in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.75)
• During the last 3 years, the Sharpe Ratio is 0.68, which is greater, thus better than the value of 0.61 from the benchmark.

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 downside risk / excess return profile of 1.08 in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.04)
• Looking at downside risk / excess return profile in of 0.91 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.84).

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.'

• Compared with the benchmark SPY (5.58 ) in the period of the last 5 years, the Ulcer Index of 3.35 of Enhanced Permanent Portfolio Strategy is smaller, thus better.
• Looking at Ulcer Index in of 3.14 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (6.83 ).

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 Enhanced Permanent Portfolio Strategy is -17.4 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -17.4 days is higher, 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) in days.'

• The maximum time in days below previous high water mark over 5 years of Enhanced Permanent Portfolio Strategy is 289 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 173 days is higher, thus worse.

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 67 days in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (33 days)
• Looking at average time in days below previous high water mark in of 44 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (35 days).