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 (-1%) in the period of the last 5 years, the total return, or performance of 44.6% of BUG Permanent Portfolio Strategy is larger, thus better.
• During the last 3 years, the total return, or increase in value is 39.6%, which is greater, thus better than the value of 11.3% 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.'

• Compared with the benchmark AGG (-0.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.7% of BUG Permanent Portfolio Strategy is larger, thus better.
• Looking at compounded annual growth rate (CAGR) in of 11.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (3.7%).

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.'

• The volatility over 5 years of BUG Permanent Portfolio Strategy is 7.1%, which is greater, thus worse compared to the benchmark AGG (6.1%) in the same period.
• Looking at historical 30 days volatility in of 6.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (5.8%).

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 deviation of 5% of BUG Permanent Portfolio Strategy is higher, thus worse.
• Looking at downside deviation in of 4.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (4%).

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.'

• The risk / return profile (Sharpe) over 5 years of BUG Permanent Portfolio Strategy is 0.73, which is higher, thus better compared to the benchmark AGG (-0.45) in the same period.
• Compared with AGG (0.2) in the period of the last 3 years, the Sharpe Ratio of 1.38 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 (-0.63) in the period of the last 5 years, the excess return divided by the downside deviation of 1.03 of BUG Permanent Portfolio Strategy is higher, thus better.
• Looking at excess return divided by the downside deviation in of 1.99 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (0.29).

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.'

• The Ulcer Index over 5 years of BUG Permanent Portfolio Strategy is 4.49 , which is lower, thus better compared to the benchmark AGG (8.99 ) in the same period.
• Looking at Downside risk index in of 1.55 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (2.32 ).

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.'

• Compared with the benchmark AGG (-17.8 days) in the period of the last 5 years, the maximum reduction from previous high of -11 days of BUG Permanent Portfolio Strategy is higher, thus better.
• Looking at maximum drop from peak to valley 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.'

• 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 (1128 days) in the same period.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum days below previous high 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 (514 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.
• Compared with AGG (61 days) in the period of the last 3 years, the average time in days below previous high water mark of 25 days is lower, thus better.