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 (140.3%) in the period of the last 5 years, the total return of 119.7% of Leveraged Gold-Currency Strategy is smaller, thus worse.
• Compared with GLD (120%) in the period of the last 3 years, the total return of 67.8% is smaller, thus worse.

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.'

• Looking at the annual performance (CAGR) of 17.1% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (19.3%)
• Looking at annual return (CAGR) in of 18.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (30.2%).

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 Leveraged Gold-Currency Strategy is 13%, which is smaller, thus better compared to the benchmark GLD (18.8%) in the same period.
• During the last 3 years, the volatility is 13.9%, which is lower, thus better than the value of 21.4% 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.'

• Looking at the downside volatility of 9.3% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (13.2%)
• During the last 3 years, the downside deviation is 10.1%, which is lower, thus better than the value of 15.2% 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.'

• The Sharpe Ratio over 5 years of Leveraged Gold-Currency Strategy is 1.12, which is larger, thus better compared to the benchmark GLD (0.89) in the same period.
• Looking at Sharpe Ratio in of 1.18 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (1.29).

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.'

• The ratio of annual return and downside deviation over 5 years of Leveraged Gold-Currency Strategy is 1.57, which is higher, thus better compared to the benchmark GLD (1.27) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.63, which is lower, thus worse than the value of 1.82 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark GLD (9.12 ) in the period of the last 5 years, the Ulcer Ratio of 6.38 of Leveraged Gold-Currency Strategy is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 5.57 , which is lower, thus better than the value of 8.52 from the benchmark.

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 DrawDown over 5 years of Leveraged Gold-Currency Strategy is -15.3 days, which is greater, thus better compared to the benchmark GLD (-26.4 days) in the same period.
• Compared with GLD (-26.4 days) in the period of the last 3 years, the maximum reduction from previous high of -14.9 days is higher, 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) in days.'

• The maximum days under water over 5 years of Leveraged Gold-Currency Strategy is 471 days, which is higher, thus worse compared to the benchmark GLD (436 days) in the same period.
• Looking at maximum days under water in of 163 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (163 days).

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.'

• Looking at the average days under water of 120 days in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively greater, thus worse in comparison to the benchmark GLD (105 days)
• Compared with GLD (33 days) in the period of the last 3 years, the average days under water of 40 days is greater, thus worse.