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 performance over 5 years of Leveraged Gold-Currency Strategy is 97.3%, which is higher, thus better compared to the benchmark GLD (73.3%) in the same period.
• During the last 3 years, the total return is 50.3%, which is greater, thus better than the value of 48.7% from the benchmark.

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 (11.7%) in the period of the last 5 years, the annual performance (CAGR) of 14.6% of Leveraged Gold-Currency Strategy is higher, thus better.
• Compared with GLD (14.2%) in the period of the last 3 years, the annual return (CAGR) of 14.6% is higher, thus better.

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.'

• Compared with the benchmark GLD (15.5%) in the period of the last 5 years, the volatility of 11.4% of Leveraged Gold-Currency Strategy is smaller, thus better.
• Compared with GLD (14.6%) in the period of the last 3 years, the 30 days standard deviation of 11.3% is smaller, thus better.

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 (11%) in the period of the last 5 years, the downside deviation of 7.8% of Leveraged Gold-Currency Strategy is lower, thus better.
• During the last 3 years, the downside deviation is 7.8%, which is smaller, thus better than the value of 9.9% 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 Sharpe Ratio of 1.06 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (0.59)
• Compared with GLD (0.8) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.08 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 (0.84) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.54 of Leveraged Gold-Currency Strategy is greater, thus better.
• During the last 3 years, the downside risk / excess return profile is 1.55, which is larger, thus better than the value of 1.19 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 (9.79 ) in the period of the last 5 years, the Ulcer Index of 5.97 of Leveraged Gold-Currency Strategy is lower, thus better.
• Looking at Ulcer Ratio in of 6.52 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (8.3 ).

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 (-22 days) in the period of the last 5 years, the maximum DrawDown of -15.2 days of Leveraged Gold-Currency Strategy is higher, thus better.
• During the last 3 years, the maximum drop from peak to valley is -15.2 days, which is higher, thus better than the value of -21 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.'

• 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 lower, thus better in comparison to the benchmark GLD (897 days)
• Compared with GLD (436 days) in the period of the last 3 years, the maximum days below previous high of 471 days is larger, thus worse.

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 time in days below previous high water mark over 5 years of Leveraged Gold-Currency Strategy is 140 days, which is smaller, thus better compared to the benchmark GLD (346 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 167 days, which is greater, thus worse than the value of 142 days from the benchmark.