BUG Permanent Portfolio Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark AGG (-1.1%) in the period of the last 5 years, the total return of 41.9% of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the total return, or increase in value is 40.3%, which is larger, thus better than the value of 11.3% 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.'

• Looking at the compounded annual growth rate (CAGR) of 7.3% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.2%)
• Looking at compounded annual growth rate (CAGR) in of 12% in the period of the last 3 years, we see it is relatively higher, 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 30 days standard deviation over 5 years of BUG Permanent Portfolio Strategy is 7%, which is higher, thus worse compared to the benchmark AGG (6.1%) in the same period.
• Compared with AGG (5.8%) in the period of the last 3 years, the volatility of 6.6% is greater, thus worse.

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 4.9% of BUG Permanent Portfolio Strategy is larger, thus worse.
• Looking at downside volatility in of 4.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (4%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.68 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.45)
• Compared with AGG (0.2) in the period of the last 3 years, the Sharpe Ratio of 1.44 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.'

• The downside risk / excess return profile over 5 years of BUG Permanent Portfolio Strategy is 0.97, which is larger, thus better compared to the benchmark AGG (-0.63) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 2.14, which is higher, thus better than the value of 0.29 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.'

• Compared with the benchmark AGG (9 ) in the period of the last 5 years, the Downside risk index of 4.49 of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at Ulcer 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:

'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.'

• 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.
• During the last 3 years, the maximum drop from peak to valley is -4.7 days, which is higher, thus better than the value of -7.4 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.'

• The maximum days below previous high over 5 years of BUG Permanent Portfolio Strategy is 545 days, which is lower, thus better compared to the benchmark AGG (1121 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark 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.'

• The average time in days below previous high water mark over 5 years of BUG Permanent Portfolio Strategy is 144 days, which is lower, thus better compared to the benchmark AGG (509 days) in the same period.
• Looking at average time in days below previous high water mark in of 25 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (61 days).