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.'

• The total return over 5 years of BUG Permanent Portfolio Strategy is 44.4%, which is greater, thus better compared to the benchmark AGG (14.2%) in the same period.
• Compared with AGG (6.5%) in the period of the last 3 years, the total return of 27.5% is larger, thus better.

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 (2.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.6% of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 8.4%, which is greater, thus better than the value of 2.1% from the benchmark.

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 historical 30 days volatility over 5 years of BUG Permanent Portfolio Strategy is 5.9%, which is larger, thus worse compared to the benchmark AGG (3%) in the same period.
• Compared with AGG (2.8%) in the period of the last 3 years, the volatility of 5.5% is greater, thus worse.

DownVol:

'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.'

• The downside risk over 5 years of BUG Permanent Portfolio Strategy is 6.5%, which is greater, thus worse compared to the benchmark AGG (3.2%) in the same period.
• During the last 3 years, the downside deviation is 6.4%, which is higher, thus worse than the value of 3% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The ratio of return and volatility (Sharpe) over 5 years of BUG Permanent Portfolio Strategy is 0.87, which is higher, thus better compared to the benchmark AGG (0.07) in the same period.
• Compared with AGG (-0.14) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.07 is higher, thus better.

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 0.79, which is larger, thus better compared to the benchmark AGG (0.06) in the same period.
• Compared with AGG (-0.13) in the period of the last 3 years, the downside risk / excess return profile of 0.93 is larger, thus better.

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.'

• Compared with the benchmark AGG (1.63 ) in the period of the last 5 years, the Ulcer Ratio of 2.78 of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the Ulcer Index is 2.71 , which is greater, thus better than the value of 1.9 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.'

• The maximum reduction from previous high over 5 years of BUG Permanent Portfolio Strategy is -7.6 days, which is smaller, thus worse compared to the benchmark AGG (-4.5 days) in the same period.
• Compared with AGG (-4.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -7.1 days is lower, thus worse.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days under water of 288 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (331 days)
• Looking at maximum days below previous high 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.'

• Compared with the benchmark AGG (113 days) in the period of the last 5 years, the average days under water of 82 days of BUG Permanent Portfolio Strategy is lower, thus better.
• Compared with AGG (137 days) in the period of the last 3 years, the average days below previous high of 75 days is lower, thus better.