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.'

• Looking at the total return of 51.8% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-5%)
• During the last 3 years, the total return is 27.4%, which is higher, thus better than the value of 6.7% from the benchmark.

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 annual performance (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 8.7%, which is larger, thus better compared to the benchmark AGG (-1%) in the same period.
• Compared with AGG (2.2%) in the period of the last 3 years, the annual performance (CAGR) of 8.4% is greater, 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%) in the period of the last 5 years, the historical 30 days volatility of 7.4% of BUG Permanent Portfolio Strategy is greater, thus worse.
• Compared with AGG (6.7%) in the period of the last 3 years, the volatility of 6.3% is lower, thus better.

DownVol:

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

• The downside deviation over 5 years of BUG Permanent Portfolio Strategy is 5.2%, which is higher, thus worse compared to the benchmark AGG (4.3%) in the same period.
• During the last 3 years, the downside deviation is 4.3%, which is smaller, thus better than the value of 4.6% from the benchmark.

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 (-0.58) in the period of the last 5 years, the Sharpe Ratio of 0.84 of BUG Permanent Portfolio Strategy is greater, thus better.
• Compared with AGG (-0.05) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.93 is higher, 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.'

• Compared with the benchmark AGG (-0.82) in the period of the last 5 years, the downside risk / excess return profile of 1.19 of BUG Permanent Portfolio Strategy is greater, thus better.
• During the last 3 years, the downside risk / excess return profile is 1.38, which is larger, thus better than the value of -0.07 from the benchmark.

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 4.5 , which is smaller, thus better compared to the benchmark AGG (9.51 ) in the same period.
• During the last 3 years, the Downside risk index is 2.2 , which is smaller, thus better than the value of 3.78 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 reduction from previous high of -11 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-18.4 days)
• During the last 3 years, the maximum DrawDown is -6 days, which is greater, thus better than the value of -9.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days under water over 5 years of BUG Permanent Portfolio Strategy is 545 days, which is lower, thus better compared to the benchmark AGG (1239 days) in the same period.
• During the last 3 years, the maximum days below previous high is 208 days, which is lower, thus better than the value of 487 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 (618 days) in the period of the last 5 years, the average time in days below previous high water mark of 145 days of BUG Permanent Portfolio Strategy is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 49 days, which is lower, thus better than the value of 190 days from the benchmark.