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, or increase in value over 5 years of BUG Permanent Portfolio Strategy is 58.3%, which is larger, thus better compared to the benchmark AGG (-4.5%) in the same period.
• During the last 3 years, the total return, or performance is 21.4%, which is greater, thus better than the value of 4.6% 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.'

• Looking at the annual return (CAGR) of 9.6% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.9%)
• During the last 3 years, the annual performance (CAGR) is 6.7%, 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 30 days standard deviation of 7.5% of BUG Permanent Portfolio Strategy is greater, thus worse.
• During the last 3 years, the volatility is 6.6%, which is lower, thus better than the value of 6.9% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of BUG Permanent Portfolio Strategy is 5.3%, which is greater, thus worse compared to the benchmark AGG (4.3%) in the same period.
• Compared with AGG (4.7%) in the period of the last 3 years, the downside volatility of 4.6% is smaller, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the ratio of return and volatility (Sharpe) of 0.96 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.57)
• Looking at ratio of return and volatility (Sharpe) in of 0.64 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-0.14).

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 1.36, which is larger, thus better compared to the benchmark AGG (-0.8) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.92, which is greater, thus better than the value of -0.21 from the benchmark.

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 (9.46 ) in the period of the last 5 years, the Ulcer Ratio of 4.5 of BUG Permanent Portfolio Strategy is lower, thus better.
• Compared with AGG (3.8 ) in the period of the last 3 years, the Downside risk index of 2.28 is lower, thus better.

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.'

• The maximum reduction from previous high over 5 years of BUG Permanent Portfolio Strategy is -11 days, which is higher, thus better compared to the benchmark AGG (-18.4 days) in the same period.
• Compared with AGG (-9.8 days) in the period of the last 3 years, the maximum DrawDown of -6 days is larger, thus better.

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 (1211 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.
• Compared with AGG (487 days) in the period of the last 3 years, the maximum days below previous high of 208 days is smaller, thus better.

AveDuration:

'The Average 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. 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 (595 days) in the period of the last 5 years, the average days under water of 145 days of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at average days under water in of 49 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (185 days).