BUG Permanent Portfolio Strategy

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, or increase in value over 5 years of BUG Permanent Portfolio Strategy is 54.2%, which is greater, thus better compared to the benchmark AGG (-2.3%) in the same period.
• During the last 3 years, the total return is 11.7%, which is larger, thus better than the value of -5.3% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark AGG (-0.5%) in the period of the last 5 years, the annual return (CAGR) of 9.1% of BUG Permanent Portfolio Strategy is greater, thus better.
• Looking at annual performance (CAGR) in of 3.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-1.8%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark AGG (6.8%) in the period of the last 5 years, the historical 30 days volatility of 8.7% of BUG Permanent Portfolio Strategy is higher, thus worse.
• During the last 3 years, the 30 days standard deviation is 6.7%, which is lower, thus better than the value of 7.1% 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 BUG Permanent Portfolio Strategy is 6.5%, which is greater, thus worse compared to the benchmark AGG (5%) in the same period.
• Looking at downside risk in of 4.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (5%).

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.'

• Compared with the benchmark AGG (-0.43) in the period of the last 5 years, the Sharpe Ratio of 0.75 of BUG Permanent Portfolio Strategy is higher, thus better.
• Looking at risk / return profile (Sharpe) in of 0.19 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-0.61).

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 AGG (-0.59) in the period of the last 5 years, the excess return divided by the downside deviation of 1.01 of BUG Permanent Portfolio Strategy is larger, thus better.
• Looking at ratio of annual return and downside deviation in of 0.27 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-0.86).

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.'

• The Downside risk index over 5 years of BUG Permanent Portfolio Strategy is 4.89 , which is lower, thus better compared to the benchmark AGG (9.27 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 4.66 , which is lower, thus better than the value of 8.59 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum drop from peak to valley of -19.3 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively lower, thus worse in comparison to the benchmark AGG (-18.4 days)
• Looking at maximum DrawDown in of -9.7 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-15.2 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). 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'

• The maximum time in days below previous high water mark over 5 years of BUG Permanent Portfolio Strategy is 545 days, which is smaller, thus better compared to the benchmark AGG (1120 days) in the same period.
• During the last 3 years, the maximum days below previous high is 518 days, which is lower, thus better than the value of 750 days from the benchmark.

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.'

• Compared with the benchmark AGG (518 days) in the period of the last 5 years, the average days below previous high of 146 days of BUG Permanent Portfolio Strategy is lower, thus better.
• Compared with AGG (374 days) in the period of the last 3 years, the average time in days below previous high water mark of 195 days is lower, thus better.