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.'

• Compared with the benchmark AGG (-0.9%) in the period of the last 5 years, the total return of 59.7% of BUG Permanent Portfolio Strategy is higher, thus better.
• Compared with AGG (-6.3%) in the period of the last 3 years, the total return, or performance of 9.6% is higher, thus better.

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.'

• Looking at the annual return (CAGR) of 9.8% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.2%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 3.1%, which is larger, thus better than the value of -2.2% 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 8.7%, which is larger, thus worse compared to the benchmark AGG (6.8%) in the same period.
• Looking at 30 days standard deviation in of 6.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (7.1%).

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 deviation over 5 years of BUG Permanent Portfolio Strategy is 6.4%, which is greater, thus worse compared to the benchmark AGG (5%) in the same period.
• During the last 3 years, the downside deviation is 4.8%, which is smaller, thus better than the value of 5% 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.'

• Compared with the benchmark AGG (-0.39) in the period of the last 5 years, the Sharpe Ratio of 0.84 of BUG Permanent Portfolio Strategy is larger, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.09, which is greater, thus better than the value of -0.66 from the benchmark.

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.'

• Looking at the ratio of annual return and downside deviation of 1.14 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.54)
• Looking at downside risk / excess return profile in of 0.13 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-0.93).

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.'

• Compared with the benchmark AGG (9.14 ) in the period of the last 5 years, the Ulcer Ratio of 4.88 of BUG Permanent Portfolio Strategy is lower, thus better.
• Compared with AGG (11 ) in the period of the last 3 years, the Ulcer Index of 5.69 is lower, 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.'

• The maximum reduction from previous high over 5 years of BUG Permanent Portfolio Strategy is -19.3 days, which is lower, thus worse compared to the benchmark AGG (-18.4 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -11 days, which is larger, thus better than the value of -17.2 days from the benchmark.

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.'

• The maximum days below previous high over 5 years of BUG Permanent Portfolio Strategy is 545 days, which is smaller, thus better compared to the benchmark AGG (1081 days) in the same period.
• Compared with AGG (744 days) in the period of the last 3 years, the maximum days below previous high of 545 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.'

• Looking at the average days below previous high of 147 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively smaller, thus better in comparison to the benchmark AGG (486 days)
• Looking at average days below previous high in of 213 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (371 days).