BUG Permanent Portfolio Strategy

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.'

• The total return, or increase in value over 5 years of BUG Permanent Portfolio Strategy is 41.5%, which is larger, thus better compared to the benchmark AGG (2%) in the same period.
• During the last 3 years, the total return, or performance is 40.6%, which is larger, thus better than the value of 11.5% 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.'

• The compounded annual growth rate (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 7.2%, which is larger, thus better compared to the benchmark AGG (0.4%) in the same period.
• During the last 3 years, the annual return (CAGR) is 12.1%, which is higher, thus better than the value of 3.7% from the benchmark.

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.'

• Compared with the benchmark AGG (6%) in the period of the last 5 years, the 30 days standard deviation of 7% of BUG Permanent Portfolio Strategy is greater, thus worse.
• Looking at volatility in of 7.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (5.6%).

DownVol:

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

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside volatility of 5% of BUG Permanent Portfolio Strategy is higher, thus worse.
• Looking at downside volatility in of 4.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (3.9%).

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 (-0.35) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.68 of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.36, which is greater, thus better than the value of 0.21 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 0.95 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.5)
• Compared with AGG (0.31) in the period of the last 3 years, the excess return divided by the downside deviation of 1.95 is larger, thus better.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark AGG (8.98 ) in the period of the last 5 years, the Downside risk index of 4.48 of BUG Permanent Portfolio Strategy is lower, thus better.
• Compared with AGG (2.25 ) in the period of the last 3 years, the Ulcer Index of 1.5 is smaller, thus better.

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.'

• The maximum reduction from previous high over 5 years of BUG Permanent Portfolio Strategy is -11 days, which is larger, thus better compared to the benchmark AGG (-17.8 days) in the same period.
• Looking at maximum reduction from previous high in of -4.7 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-7.4 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.'

• Compared with the benchmark AGG (1146 days) in the period of the last 5 years, the maximum days under water of 545 days of BUG Permanent Portfolio Strategy is lower, thus better.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum days under water of 94 days is lower, thus better.

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 (534 days) in the period of the last 5 years, the average days below previous high of 145 days of BUG Permanent Portfolio Strategy is lower, thus better.
• During the last 3 years, the average days below previous high is 21 days, which is lower, thus better than the value of 61 days from the benchmark.