The Leveraged Gold-Currency Strategy takes advantage of the historically negative correlation between gold and the U.S. dollar. It switches between the two assets based on their recent risk adjusted performance enabling the strategy to provide protection against severe gold corrections due to dollar strength. It is an excellent addition to existing equity or bond portfolios as it holds very little correlation to either.

This version of the strategy uses inverse leveraged ETFs to generate higher returns, but some retirement accounts are restricted from trading these ETFs. GLD-UUP provides an alternate form of the strategy without leveraged ETFs which also lowers the overall return and volatility.

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Which means for our asset as example:- Looking at the total return, or increase in value of 89.9% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (75.3%)
- Looking at total return, or performance in of 41.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (49.7%).

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:- The annual performance (CAGR) over 5 years of Leveraged Gold-Currency Strategy is 13.7%, which is larger, thus better compared to the benchmark GLD (11.9%) in the same period.
- During the last 3 years, the compounded annual growth rate (CAGR) is 12.4%, which is lower, thus worse than the value of 14.4% from the benchmark.

'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.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of Leveraged Gold-Currency Strategy is 11.2%, which is lower, thus better compared to the benchmark GLD (15.2%) in the same period.
- Looking at historical 30 days volatility in of 11.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (14.2%).

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark GLD (10.7%) in the period of the last 5 years, the downside risk of 7.7% of Leveraged Gold-Currency Strategy is lower, thus better.
- Compared with GLD (9.5%) in the period of the last 3 years, the downside risk of 7.7% is lower, thus better.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark GLD (0.62) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.01 of Leveraged Gold-Currency Strategy is higher, thus better.
- During the last 3 years, the Sharpe Ratio is 0.89, which is greater, thus better than the value of 0.84 from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark GLD (0.88) in the period of the last 5 years, the downside risk / excess return profile of 1.46 of Leveraged Gold-Currency Strategy is higher, thus better.
- During the last 3 years, the ratio of annual return and downside deviation is 1.27, which is larger, thus better than the value of 1.26 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark GLD (9.74 ) in the period of the last 5 years, the Downside risk index of 5.96 of Leveraged Gold-Currency Strategy is lower, thus better.
- During the last 3 years, the Ulcer Index is 6.51 , which is smaller, thus better than the value of 8.23 from the benchmark.

'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.'

Which means for our asset as example:- The maximum drop from peak to valley over 5 years of Leveraged Gold-Currency Strategy is -15.2 days, which is higher, thus better compared to the benchmark GLD (-22 days) in the same period.
- During the last 3 years, the maximum drop from peak to valley is -15.2 days, which is greater, thus better than the value of -21 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark GLD (897 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 471 days of Leveraged Gold-Currency Strategy is lower, thus better.
- During the last 3 years, the maximum time in days below previous high water mark is 471 days, which is greater, thus worse than the value of 436 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark GLD (346 days) in the period of the last 5 years, the average days under water of 140 days of Leveraged Gold-Currency Strategy is smaller, thus better.
- Looking at average days under water in of 166 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (143 days).

Historical returns have been extended using synthetic data.
[Show Details]

Allocations and holdings shown below are delayed by one month.

Register now to get the current trading allocations.

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Leveraged Gold-Currency Strategy are hypothetical and do not account for slippage, fees or taxes.
- Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.