Leveraged Gold-Currency 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.'

• Compared with the benchmark GLD (132.6%) in the period of the last 5 years, the total return, or increase in value of 121.4% of Leveraged Gold-Currency Strategy is lower, thus worse.
• During the last 3 years, the total return, or performance is 75.8%, which is lower, thus worse than the value of 123.2% 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.'

• Compared with the benchmark GLD (18.5%) in the period of the last 5 years, the annual performance (CAGR) of 17.3% of Leveraged Gold-Currency Strategy is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 20.8%, which is lower, thus worse than the value of 30.8% from the benchmark.

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 historical 30 days volatility over 5 years of Leveraged Gold-Currency Strategy is 13%, which is smaller, thus better compared to the benchmark GLD (18.9%) in the same period.
• Compared with GLD (21.5%) in the period of the last 3 years, the historical 30 days volatility of 13.8% is lower, thus better.

DownVol:

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

• Compared with the benchmark GLD (13.3%) in the period of the last 5 years, the downside volatility of 9.3% of Leveraged Gold-Currency Strategy is lower, thus better.
• Looking at downside deviation in of 10% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (15.3%).

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 GLD (0.85) in the period of the last 5 years, the Sharpe Ratio of 1.14 of Leveraged Gold-Currency Strategy is larger, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.33, which is higher, thus better than the value of 1.32 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 excess return divided by the downside deviation over 5 years of Leveraged Gold-Currency Strategy is 1.6, which is larger, thus better compared to the benchmark GLD (1.2) in the same period.
• Compared with GLD (1.85) in the period of the last 3 years, the excess return divided by the downside deviation of 1.84 is lower, thus worse.

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 Ulcer Index of 6.37 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (9.25 )
• Compared with GLD (8.73 ) in the period of the last 3 years, the Ulcer Index of 5.61 is smaller, thus better.

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 DrawDown of -15.2 days in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (-26.4 days)
• During the last 3 years, the maximum drop from peak to valley is -14.7 days, which is higher, thus better than the value of -26.4 days from the benchmark.

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) in days.'

• The maximum days under water over 5 years of Leveraged Gold-Currency Strategy is 456 days, which is greater, thus worse compared to the benchmark GLD (436 days) in the same period.
• Compared with GLD (169 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 169 days is greater, thus worse.

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 time in days below previous high water mark over 5 years of Leveraged Gold-Currency Strategy is 114 days, which is larger, thus worse compared to the benchmark GLD (105 days) in the same period.
• Compared with GLD (35 days) in the period of the last 3 years, the average days under water of 42 days is higher, thus worse.