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.'

• Compared with the benchmark AGG (0.2%) in the period of the last 5 years, the total return, or increase in value of 37.6% of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the total return, or performance is 38.5%, which is greater, thus better than the value of 13% from the benchmark.

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 annual performance (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 6.6%, which is higher, thus better compared to the benchmark AGG (0%) in the same period.
• Looking at annual return (CAGR) in of 11.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (4.2%).

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.'

• The 30 days standard deviation over 5 years of BUG Permanent Portfolio Strategy is 7.3%, which is greater, thus worse compared to the benchmark AGG (6.1%) in the same period.
• During the last 3 years, the historical 30 days volatility is 7.7%, which is greater, thus worse than the value of 5.4% 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.'

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside deviation of 5.2% of BUG Permanent Portfolio Strategy is greater, thus worse.
• Compared with AGG (3.7%) in the period of the last 3 years, the downside risk of 5.4% is greater, 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.'

• Looking at the Sharpe Ratio of 0.56 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.4)
• Compared with AGG (0.31) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.17 is greater, 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.'

• Looking at the downside risk / excess return profile of 0.79 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.57)
• Looking at excess return divided by the downside deviation in of 1.66 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (0.45).

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 Ratio over 5 years of BUG Permanent Portfolio Strategy is 4.55 , which is smaller, thus better compared to the benchmark AGG (8.99 ) in the same period.
• Compared with AGG (1.96 ) in the period of the last 3 years, the Ulcer Ratio of 1.82 is lower, thus better.

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.'

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

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 lower, thus better compared to the benchmark AGG (1146 days) in the same period.
• During the last 3 years, the maximum days below previous high is 94 days, which is lower, thus better than the value of 195 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 (530 days) in the period of the last 5 years, the average days below previous high of 144 days of BUG Permanent Portfolio Strategy is lower, thus better.
• During the last 3 years, the average days under water is 24 days, which is lower, thus better than the value of 51 days from the benchmark.