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.'

• The total return, or increase in value over 5 years of Leveraged Gold-Currency Strategy is 138.2%, which is smaller, thus worse compared to the benchmark GLD (160.6%) in the same period.
• Compared with GLD (136.2%) in the period of the last 3 years, the total return, or increase in value of 73.2% is smaller, thus worse.

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 (21.2%) in the period of the last 5 years, the annual return (CAGR) of 19% of Leveraged Gold-Currency Strategy is lower, thus worse.
• Compared with GLD (33.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 20.2% is smaller, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of Leveraged Gold-Currency Strategy is 12.7%, which is lower, thus better compared to the benchmark GLD (17.8%) in the same period.
• Looking at historical 30 days volatility in of 13.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (19.7%).

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 (12.5%) in the period of the last 5 years, the downside risk of 9% of Leveraged Gold-Currency Strategy is smaller, thus better.
• Looking at downside deviation in of 9.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (13.9%).

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 GLD (1.05) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.3 of Leveraged Gold-Currency Strategy is greater, thus better.
• Compared with GLD (1.56) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.3 is smaller, thus worse.

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 GLD (1.5) in the period of the last 5 years, the excess return divided by the downside deviation of 1.84 of Leveraged Gold-Currency Strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.83, which is lower, thus worse than the value of 2.23 from the benchmark.

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 5.52 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (7.33 )
• Looking at Downside risk index in of 4.64 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (4.67 ).

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.'

• Looking at the maximum reduction from previous high of -15.3 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 (-21 days)
• During the last 3 years, the maximum DrawDown is -12.3 days, which is greater, thus better than the value of -19.2 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.'

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

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.'

• Compared with the benchmark GLD (108 days) in the period of the last 5 years, the average days under water of 112 days of Leveraged Gold-Currency Strategy is greater, thus worse.
• Looking at average days under water in of 56 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (31 days).