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 (-4.4%) in the period of the last 5 years, the total return, or performance of 56.3% of BUG Permanent Portfolio Strategy is higher, thus better.
• Compared with AGG (8.2%) in the period of the last 3 years, the total return of 27.4% is larger, thus better.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual performance (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 9.4%, which is greater, thus better compared to the benchmark AGG (-0.9%) in the same period.
• Looking at annual return (CAGR) in of 8.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (2.7%).

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.'

• The 30 days standard deviation over 5 years of BUG Permanent Portfolio Strategy is 7.4%, which is larger, thus worse compared to the benchmark AGG (6%) in the same period.
• During the last 3 years, the historical 30 days volatility is 6.4%, which is lower, thus better than the value of 6.8% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (4.3%) in the period of the last 5 years, the downside risk of 5.2% of BUG Permanent Portfolio Strategy is greater, thus worse.
• During the last 3 years, the downside deviation is 4.3%, which is lower, thus better than the value of 4.6% 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 (-0.57) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.93 of BUG Permanent Portfolio Strategy is greater, thus better.
• Looking at risk / return profile (Sharpe) in of 0.93 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (0.02).

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.'

• Compared with the benchmark AGG (-0.79) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.32 of BUG Permanent Portfolio Strategy is greater, thus better.
• Compared with AGG (0.04) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.37 is higher, 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 (9.49 ) in the period of the last 5 years, the Ulcer Ratio of 4.5 of BUG Permanent Portfolio Strategy is smaller, thus better.
• Looking at Downside risk index in of 2.2 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (3.78 ).

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.'

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

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'

• The maximum time in days below previous high water mark over 5 years of BUG Permanent Portfolio Strategy is 545 days, which is lower, thus better compared to the benchmark AGG (1225 days) in the same period.
• Compared with AGG (487 days) in the period of the last 3 years, the maximum days below previous high of 208 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.'

• The average days under water over 5 years of BUG Permanent Portfolio Strategy is 145 days, which is lower, thus better compared to the benchmark AGG (608 days) in the same period.
• Looking at average time in days below previous high water mark in of 49 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (189 days).