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.'

• The total return over 5 years of Leveraged Gold-Currency Strategy is 95.9%, which is higher, thus better compared to the benchmark GLD (87.6%) in the same period.
• Looking at total return, or performance in of 51.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (76.8%).

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.'

• Compared with the benchmark GLD (13.5%) in the period of the last 5 years, the annual performance (CAGR) of 14.4% of Leveraged Gold-Currency Strategy is greater, thus better.
• Looking at annual performance (CAGR) in of 14.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (21%).

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 volatility of 11.2% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (15.4%)
• During the last 3 years, the historical 30 days volatility is 11.9%, which is lower, thus better than the value of 15.5% from the benchmark.

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 Leveraged Gold-Currency Strategy is 7.8%, which is lower, thus better compared to the benchmark GLD (10.7%) in the same period.
• During the last 3 years, the downside risk is 8.2%, which is smaller, thus better than the value of 10.1% 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.'

• Looking at the risk / return profile (Sharpe) of 1.06 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (0.71)
• Looking at Sharpe Ratio in of 1.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.2).

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.'

• Compared with the benchmark GLD (1.02) in the period of the last 5 years, the excess return divided by the downside deviation of 1.53 of Leveraged Gold-Currency Strategy is larger, thus better.
• Compared with GLD (1.83) in the period of the last 3 years, the downside risk / excess return profile of 1.51 is lower, thus worse.

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.'

• The Downside risk index over 5 years of Leveraged Gold-Currency Strategy is 5.96 , which is smaller, thus better compared to the benchmark GLD (9.77 ) in the same period.
• Looking at Ulcer Ratio in of 6.56 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (4.85 ).

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.'

• Compared with the benchmark GLD (-22 days) in the period of the last 5 years, the maximum drop from peak to valley of -15.2 days of Leveraged Gold-Currency Strategy is greater, thus better.
• Compared with GLD (-13.4 days) in the period of the last 3 years, the maximum DrawDown of -15.2 days is lower, thus worse.

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 time in days below previous high water mark over 5 years of Leveraged Gold-Currency Strategy is 456 days, which is lower, thus better compared to the benchmark GLD (897 days) in the same period.
• Compared with GLD (145 days) in the period of the last 3 years, the maximum days below previous high of 456 days is higher, 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 136 days, which is smaller, thus better compared to the benchmark GLD (348 days) in the same period.
• Looking at average days under water in of 157 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (40 days).