BUG Permanent Portfolio Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or increase in value of 58.9% 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 21.1%, which is higher, thus better than the value of 4.5% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual performance (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 9.7%, which is greater, thus better compared to the benchmark AGG (-1%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 6.6%, which is larger, thus better than the value of 1.5% 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 (6%) in the period of the last 5 years, the volatility of 7.5% of BUG Permanent Portfolio Strategy is larger, thus worse.
• During the last 3 years, the volatility is 6.6%, which is smaller, thus better than the value of 6.9% from the benchmark.

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 volatility over 5 years of BUG Permanent Portfolio Strategy is 5.3%, which is larger, thus worse compared to the benchmark AGG (4.3%) in the same period.
• Looking at downside risk in of 4.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (4.8%).

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.'

• Compared with the benchmark AGG (-0.59) in the period of the last 5 years, the Sharpe Ratio of 0.97 of BUG Permanent Portfolio Strategy is larger, thus better.
• Compared with AGG (-0.15) in the period of the last 3 years, the Sharpe Ratio of 0.62 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 ratio of annual return and downside deviation over 5 years of BUG Permanent Portfolio Strategy is 1.37, which is higher, thus better compared to the benchmark AGG (-0.83) in the same period.
• Looking at excess return divided by the downside deviation in of 0.89 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-0.21).

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 lower, thus better compared to the benchmark AGG (9.44 ) in the same period.
• Compared with AGG (3.81 ) in the period of the last 3 years, the Downside risk index of 2.28 is smaller, thus better.

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 (-18.4 days) in the period of the last 5 years, the maximum reduction from previous high of -11 days of BUG Permanent Portfolio Strategy is larger, thus better.
• Looking at maximum drop from peak to valley in of -6 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-9.8 days).

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.'

• Looking at the maximum time in days below previous high water mark of 545 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 (1200 days)
• During the last 3 years, the maximum time in days below previous high water mark 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 (587 days) in the period of the last 5 years, the average time in days below previous high water mark of 146 days of BUG Permanent Portfolio Strategy is smaller, thus better.
• Compared with AGG (184 days) in the period of the last 3 years, the average time in days below previous high water mark of 49 days is smaller, thus better.