Leveraged Gold-Currency Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of 147.5% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus worse in comparison to the benchmark GLD (173.1%)
• Looking at total return, or performance in of 87.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (169.7%).

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 Leveraged Gold-Currency Strategy is 20%, which is lower, thus worse compared to the benchmark GLD (22.4%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 23.5%, which is lower, thus worse than the value of 39.4% 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.'

• Compared with the benchmark GLD (16.9%) in the period of the last 5 years, the historical 30 days volatility of 12.2% of Leveraged Gold-Currency Strategy is lower, thus better.
• Looking at historical 30 days volatility in of 13% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (18.4%).

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 volatility over 5 years of Leveraged Gold-Currency Strategy is 8.6%, which is lower, thus better compared to the benchmark GLD (11.7%) in the same period.
• Looking at downside volatility in of 9.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (12.6%).

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 risk / return profile (Sharpe) of 1.43 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (1.17)
• Looking at risk / return profile (Sharpe) in of 1.62 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (2.01).

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.'

• Looking at the ratio of annual return and downside deviation of 2.04 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (1.7)
• Looking at ratio of annual return and downside deviation in of 2.31 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (2.94).

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 GLD (7.09 ) in the period of the last 5 years, the Downside risk index of 5.35 of Leveraged Gold-Currency Strategy is smaller, thus better.
• During the last 3 years, the Ulcer Ratio is 4.26 , which is greater, thus worse than the value of 3.82 from the benchmark.

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.'

• The maximum drop from peak to valley over 5 years of Leveraged Gold-Currency Strategy is -15.3 days, which is larger, thus better compared to the benchmark GLD (-21 days) in the same period.
• Looking at maximum drop from peak to valley in of -12 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (-13.9 days).

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 GLD (436 days) in the period of the last 5 years, the maximum days below previous high of 471 days of Leveraged Gold-Currency Strategy is greater, thus worse.
• Compared with GLD (145 days) in the period of the last 3 years, the maximum days under water of 234 days is higher, thus worse.

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.'

• Looking at the average days under water of 112 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 (108 days)
• During the last 3 years, the average days under water is 54 days, which is larger, thus worse than the value of 29 days from the benchmark.