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 (155.5%) in the period of the last 5 years, the total return of 135% of Leveraged Gold-Currency Strategy is lower, thus worse.
• Looking at total return, or performance in of 71.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (133.1%).

CAGR:

'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.'

• The compounded annual growth rate (CAGR) over 5 years of Leveraged Gold-Currency Strategy is 18.7%, which is smaller, thus worse compared to the benchmark GLD (20.7%) in the same period.
• Compared with GLD (32.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 19.8% is lower, 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.'

• Looking at the volatility of 12.7% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (17.8%)
• Compared with GLD (19.7%) in the period of the last 3 years, the historical 30 days volatility of 13.6% is lower, thus better.

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 (12.5%) in the period of the last 5 years, the downside volatility of 9% of Leveraged Gold-Currency Strategy is lower, thus better.
• During the last 3 years, the downside risk is 9.7%, which is lower, thus better than the value of 13.9% 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 Sharpe Ratio over 5 years of Leveraged Gold-Currency Strategy is 1.27, which is greater, thus better compared to the benchmark GLD (1.02) in the same period.
• Compared with GLD (1.54) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.27 is lower, thus worse.

Sortino:

'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.'

• Compared with the benchmark GLD (1.46) in the period of the last 5 years, the downside risk / excess return profile of 1.81 of Leveraged Gold-Currency Strategy is greater, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.79, which is lower, thus worse than the value of 2.19 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.'

• The Ulcer Index over 5 years of Leveraged Gold-Currency Strategy is 5.52 , which is smaller, thus better compared to the benchmark GLD (7.32 ) in the same period.
• Looking at Ulcer Index in of 4.63 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (4.65 ).

MaxDD:

'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.'

• The maximum DrawDown over 5 years of Leveraged Gold-Currency Strategy is -15.3 days, which is greater, 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 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'

• The maximum time in days below previous high water mark over 5 years of Leveraged Gold-Currency Strategy is 471 days, which is larger, thus worse compared to the benchmark GLD (436 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 234 days in the period of the last 3 years, we see it is relatively larger, 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.'

• Looking at the average days under water of 112 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 (108 days)
• During the last 3 years, the average days under water is 56 days, which is larger, thus worse than the value of 31 days from the benchmark.