BUG 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, or increase in value over 5 years of BUG Permanent Portfolio Strategy is 56.9%, which is greater, thus better compared to the benchmark AGG (-3.2%) in the same period.
• Looking at total return, or increase in value in of 14.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-4.5%).

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 AGG (-0.6%) in the period of the last 5 years, the annual performance (CAGR) of 9.5% of BUG Permanent Portfolio Strategy is larger, thus better.
• Looking at annual performance (CAGR) in of 4.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-1.5%).

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.'

• Looking at the volatility of 8.7% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus worse in comparison to the benchmark AGG (6.8%)
• Looking at volatility in of 6.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (7.1%).

DownVol:

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

• The downside risk over 5 years of BUG Permanent Portfolio Strategy is 6.5%, which is higher, thus worse compared to the benchmark AGG (5%) in the same period.
• Looking at downside volatility 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 (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 ratio of return and volatility (Sharpe) of 0.79 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.46)
• Looking at Sharpe Ratio in of 0.3 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-0.57).

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.'

• Looking at the excess return divided by the downside deviation of 1.07 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.62)
• Looking at ratio of annual return and downside deviation in of 0.42 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-0.81).

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 Downside risk index of 4.89 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (9.3 )
• Looking at Ulcer Ratio in of 4.58 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (8.35 ).

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 -19.3 days, which is lower, thus worse compared to the benchmark AGG (-18.4 days) in the same period.
• Looking at maximum drop from peak to valley in of -9.6 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-15 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.'

• 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 (1129 days) in the same period.
• Compared with AGG (751 days) in the period of the last 3 years, the maximum days under water of 466 days is smaller, 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 (523 days) in the period of the last 5 years, the average time in days below previous high water mark of 147 days of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at average time in days below previous high water mark in of 163 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (376 days).