Leveraged Gold-Currency Strategy

TotalReturn:

'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.'

• Looking at the total return, or increase in value of 138.2% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus worse in comparison to the benchmark GLD (168.1%)
• Looking at total return, or increase in value in of 74.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (140.4%).

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 annual performance (CAGR) over 5 years of Leveraged Gold-Currency Strategy is 19%, which is lower, thus worse compared to the benchmark GLD (21.9%) in the same period.
• Compared with GLD (34.1%) in the period of the last 3 years, the annual return (CAGR) of 20.4% is smaller, thus worse.

Volatility:

'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.'

• The historical 30 days volatility over 5 years of Leveraged Gold-Currency Strategy is 12.7%, which is lower, thus better compared to the benchmark GLD (17.8%) in the same period.
• During the last 3 years, the 30 days standard deviation is 13.5%, which is lower, thus better than the value of 19.6% 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 (12.4%) in the period of the last 5 years, the downside deviation of 8.9% of Leveraged Gold-Currency Strategy is lower, thus better.
• During the last 3 years, the downside risk is 9.6%, which is lower, thus better than the value of 13.8% from the benchmark.

Sharpe:

'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.'

• The risk / return profile (Sharpe) over 5 years of Leveraged Gold-Currency Strategy is 1.3, which is higher, thus better compared to the benchmark GLD (1.09) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.32 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.61).

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.'

• Looking at the excess return divided by the downside deviation of 1.85 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (1.56)
• During the last 3 years, the downside risk / excess return profile is 1.87, which is lower, thus worse than the value of 2.3 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 Downside risk index over 5 years of Leveraged Gold-Currency Strategy is 5.51 , which is smaller, thus better compared to the benchmark GLD (7.3 ) in the same period.
• Looking at Ulcer Ratio in of 4.6 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (4.6 ).

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.'

• The maximum DrawDown over 5 years of Leveraged Gold-Currency Strategy is -15.3 days, which is higher, thus better compared to the benchmark GLD (-21 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -12.3 days, which is larger, thus better than the value of -19.2 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark GLD (436 days) in the period of the last 5 years, the maximum days under water of 471 days of Leveraged Gold-Currency Strategy is higher, thus worse.
• Compared with GLD (145 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 234 days is higher, 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.'

• Looking at the average time in days below previous high water mark of 112 days in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively larger, thus worse in comparison to the benchmark GLD (108 days)
• Looking at average time in days below previous high water mark in of 55 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (30 days).