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 (171%) in the period of the last 5 years, the total return of 147% of Leveraged Gold-Currency Strategy is lower, thus worse.
• Compared with GLD (168.2%) in the period of the last 3 years, the total return, or increase in value of 87.7% is lower, 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.'

• The compounded annual growth rate (CAGR) over 5 years of Leveraged Gold-Currency Strategy is 19.9%, which is smaller, thus worse compared to the benchmark GLD (22.1%) in the same period.
• Looking at annual return (CAGR) in of 23.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (39.1%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The historical 30 days volatility over 5 years of Leveraged Gold-Currency Strategy is 12.3%, which is lower, thus better compared to the benchmark GLD (17%) in the same period.
• Looking at historical 30 days volatility in of 13.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (18.6%).

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 (11.8%) in the period of the last 5 years, the downside deviation of 8.6% of Leveraged Gold-Currency Strategy is lower, thus better.
• During the last 3 years, the downside deviation is 9.2%, which is lower, thus better than the value of 12.7% 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.'

• Looking at the risk / return profile (Sharpe) of 1.41 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (1.15)
• Compared with GLD (1.97) in the period of the last 3 years, the Sharpe Ratio of 1.61 is lower, thus worse.

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.'

• The downside risk / excess return profile over 5 years of Leveraged Gold-Currency Strategy is 2.02, which is higher, thus better compared to the benchmark GLD (1.67) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 2.29, which is lower, thus worse than the value of 2.88 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.'

• The Ulcer Index over 5 years of Leveraged Gold-Currency Strategy is 5.35 , which is lower, thus better compared to the benchmark GLD (7.08 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 4.27 , which is larger, thus worse than the value of 3.84 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.'

• Compared with the benchmark GLD (-21 days) in the period of the last 5 years, the maximum DrawDown of -15.3 days of Leveraged Gold-Currency Strategy is greater, thus better.
• During the last 3 years, the maximum reduction from previous high is -12 days, which is higher, thus better than the value of -13.9 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 time in days below previous high water mark 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 234 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (145 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.'

• The average days below previous high over 5 years of Leveraged Gold-Currency Strategy is 112 days, which is higher, thus worse compared to the benchmark GLD (108 days) in the same period.
• Compared with GLD (29 days) in the period of the last 3 years, the average days below previous high of 54 days is greater, thus worse.