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.'

• Looking at the total return of 38.8% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (1.2%)
• Looking at total return, or performance in of 39.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (13%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 6.8%, which is larger, thus better compared to the benchmark AGG (0.2%) in the same period.
• Compared with AGG (4.2%) in the period of the last 3 years, the annual return (CAGR) of 11.8% is larger, thus better.

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 AGG (6.1%) in the period of the last 5 years, the historical 30 days volatility of 7.3% of BUG Permanent Portfolio Strategy is greater, thus worse.
• Looking at volatility in of 7.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (5.4%).

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 5.2% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively greater, thus worse in comparison to the benchmark AGG (4.3%)
• Compared with AGG (3.7%) in the period of the last 3 years, the downside risk of 5.4% is higher, thus worse.

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.'

• Compared with the benchmark AGG (-0.37) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.59 of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the Sharpe Ratio is 1.22, which is larger, thus better than the value of 0.31 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The excess return divided by the downside deviation over 5 years of BUG Permanent Portfolio Strategy is 0.83, which is greater, thus better compared to the benchmark AGG (-0.52) in the same period.
• Compared with AGG (0.45) in the period of the last 3 years, the excess return divided by the downside deviation of 1.73 is larger, thus better.

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 Ulcer Ratio of 4.55 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (8.99 )
• During the last 3 years, the Ulcer Index is 1.81 , which is lower, thus better than the value of 1.96 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.'

• Compared with the benchmark AGG (-17.8 days) in the period of the last 5 years, the maximum drop from peak to valley of -11 days of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the maximum reduction from previous high is -6.7 days, which is smaller, thus worse than the value of -6.1 days from the benchmark.

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 (1145 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 below previous high of 94 days is smaller, thus better.

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 days below previous high of 144 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (531 days)
• During the last 3 years, the average time in days below previous high water mark is 24 days, which is lower, thus better than the value of 51 days from the benchmark.