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 (110.7%) in the period of the last 5 years, the total return, or performance of 127.9% of Leveraged Gold-Currency Strategy is larger, thus better.
• Looking at total return in of 71% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (105.8%).

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.'

• Looking at the annual performance (CAGR) of 18% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (16.1%)
• Looking at compounded annual growth rate (CAGR) in of 19.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (27.4%).

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.'

• The 30 days standard deviation over 5 years of Leveraged Gold-Currency Strategy is 12.8%, which is smaller, thus better compared to the benchmark GLD (18.2%) 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 (20.2%).

DownVol:

'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.'

• Compared with the benchmark GLD (12.9%) 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 volatility in of 9.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (14.4%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Leveraged Gold-Currency Strategy is 1.21, which is higher, thus better compared to the benchmark GLD (0.75) in the same period.
• Compared with GLD (1.23) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.26 is higher, thus better.

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.'

• Compared with the benchmark GLD (1.06) in the period of the last 5 years, the excess return divided by the downside deviation of 1.71 of Leveraged Gold-Currency Strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.78, which is higher, thus better than the value of 1.73 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Downside risk index of 5.75 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (7.74 )
• Compared with GLD (5.35 ) in the period of the last 3 years, the Ulcer Ratio of 4.42 is smaller, thus better.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark GLD (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -15.3 days of Leveraged Gold-Currency Strategy is larger, thus better.
• Looking at maximum DrawDown in of -12.3 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (-24.5 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 471 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 (436 days)
• Compared with GLD (91 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 201 days is greater, 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.'

• The average days below previous high over 5 years of Leveraged Gold-Currency Strategy is 114 days, which is larger, thus worse compared to the benchmark GLD (107 days) in the same period.
• Compared with GLD (23 days) in the period of the last 3 years, the average days below previous high of 49 days is greater, thus worse.