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 (-1.6%) in the period of the last 5 years, the total return of 57.4% of BUG Permanent Portfolio Strategy is larger, thus better.
• During the last 3 years, the total return, or increase in value is 11.1%, which is greater, thus better than the value of -7% 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 9.5% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.3%)
• Looking at compounded annual growth rate (CAGR) in of 3.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-2.4%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the historical 30 days volatility of 8.7% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively greater, thus worse in comparison to the benchmark AGG (6.8%)
• 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.'

• Compared with the benchmark AGG (5%) in the period of the last 5 years, the downside deviation of 6.5% of BUG Permanent Portfolio Strategy is greater, thus worse.
• During the last 3 years, the downside volatility is 4.8%, which is lower, thus better than the value of 5% from the benchmark.

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.'

• Compared with the benchmark AGG (-0.41) in the period of the last 5 years, the Sharpe Ratio of 0.8 of BUG Permanent Portfolio Strategy is larger, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.16, which is greater, thus better than the value of -0.69 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of BUG Permanent Portfolio Strategy is 1.08, which is larger, thus better compared to the benchmark AGG (-0.56) in the same period.
• Looking at downside risk / excess return profile in of 0.22 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-0.98).

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.'

• Looking at the Downside risk index of 4.88 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively smaller, thus better in comparison to the benchmark AGG (9.21 )
• Looking at Ulcer Index in of 5.68 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (10 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum DrawDown of -19.3 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 (-18.4 days)
• During the last 3 years, the maximum reduction from previous high is -11 days, which is greater, thus better than the value of -16.8 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.'

• Compared with the benchmark AGG (1103 days) in the period of the last 5 years, the maximum days below previous high of 545 days of BUG Permanent Portfolio Strategy is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 545 days, which is lower, thus better than the value of 753 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 days below previous high over 5 years of BUG Permanent Portfolio Strategy is 147 days, which is smaller, thus better compared to the benchmark AGG (506 days) in the same period.
• Compared with AGG (377 days) in the period of the last 3 years, the average days under water of 214 days is lower, thus better.