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.'

• The total return, or increase in value over 5 years of Leveraged Gold-Currency Strategy is 126.3%, which is larger, thus better compared to the benchmark GLD (114.1%) in the same period.
• Looking at total return, or performance in of 63.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (130.3%).

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 compounded annual growth rate (CAGR) over 5 years of Leveraged Gold-Currency Strategy is 17.8%, which is higher, thus better compared to the benchmark GLD (16.5%) in the same period.
• During the last 3 years, the annual return (CAGR) is 17.9%, which is lower, thus worse than the value of 32.3% 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.'

• Looking at the 30 days standard deviation of 12.2% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (15.6%)
• During the last 3 years, the volatility is 12.3%, which is lower, thus better than the value of 16.2% from the benchmark.

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 (10.7%) in the period of the last 5 years, the downside deviation of 8.4% of Leveraged Gold-Currency Strategy is lower, thus better.
• Looking at downside risk in of 8.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (10.7%).

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 Sharpe Ratio of 1.26 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (0.9)
• Compared with GLD (1.84) in the period of the last 3 years, the Sharpe Ratio of 1.25 is smaller, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of Leveraged Gold-Currency Strategy is 1.83, which is higher, thus better compared to the benchmark GLD (1.31) in the same period.
• During the last 3 years, the downside risk / excess return profile is 1.82, which is lower, thus worse than the value of 2.78 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark GLD (7.65 ) in the period of the last 5 years, the Downside risk index of 5.31 of Leveraged Gold-Currency Strategy is smaller, thus better.
• Looking at Ulcer Index in of 4.42 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (3.76 ).

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 reduction from previous high of -15.2 days of Leveraged Gold-Currency Strategy is larger, thus better.
• Looking at maximum DrawDown in of -12 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (-11.3 days).

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 456 days, which is greater, thus worse compared to the benchmark GLD (436 days) in the same period.
• Looking at maximum days below previous high in of 234 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (145 days).

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.'

• Compared with the benchmark GLD (125 days) in the period of the last 5 years, the average time in days below previous high water mark of 106 days of Leveraged Gold-Currency Strategy is lower, thus better.
• Compared with GLD (28 days) in the period of the last 3 years, the average days below previous high of 59 days is higher, thus worse.