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 (16.2%) in the period of the last 5 years, the total return, or increase in value of 39% of BUG Permanent Portfolio Strategy is greater, thus better.
• During the last 3 years, the total return, or increase in value is 21.2%, which is higher, thus better than the value of 9.5% 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 (3.1%) in the period of the last 5 years, the annual performance (CAGR) of 6.8% of BUG Permanent Portfolio Strategy is larger, thus better.
• During the last 3 years, the annual return (CAGR) is 6.6%, which is larger, thus better than the value of 3.1% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark AGG (3.1%) in the period of the last 5 years, the historical 30 days volatility of 6.1% of BUG Permanent Portfolio Strategy is larger, thus worse.
• During the last 3 years, the 30 days standard deviation is 5.4%, which is greater, thus worse than the value of 2.9% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (3.4%) in the period of the last 5 years, the downside risk of 6.7% of BUG Permanent Portfolio Strategy is greater, thus worse.
• Compared with AGG (3.1%) in the period of the last 3 years, the downside volatility of 6.2% is larger, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of BUG Permanent Portfolio Strategy is 0.71, which is greater, thus better compared to the benchmark AGG (0.18) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.76 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (0.19).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The excess return divided by the downside deviation over 5 years of BUG Permanent Portfolio Strategy is 0.64, which is greater, thus better compared to the benchmark AGG (0.16) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.67 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (0.18).

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 Index over 5 years of BUG Permanent Portfolio Strategy is 2.83 , which is larger, thus worse compared to the benchmark AGG (1.64 ) in the same period.
• During the last 3 years, the Downside risk index is 2.73 , which is higher, thus worse than the value of 1.71 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.'

• Looking at the maximum reduction from previous high of -7.6 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark AGG (-4.5 days)
• During the last 3 years, the maximum reduction from previous high is -7.1 days, which is smaller, thus worse than the value of -3.8 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 (331 days) in the period of the last 5 years, the maximum days under water of 288 days of BUG Permanent Portfolio Strategy is smaller, thus better.
• Looking at maximum time in days below previous high water mark in of 288 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (331 days).

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.'

• The average days under water over 5 years of BUG Permanent Portfolio Strategy is 81 days, which is lower, thus better compared to the benchmark AGG (114 days) in the same period.
• During the last 3 years, the average days below previous high is 72 days, which is lower, thus better than the value of 103 days from the benchmark.