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.'

• Compared with the benchmark GLD (121.1%) in the period of the last 5 years, the total return, or increase in value of 115.9% of Leveraged Gold-Currency Strategy is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 76.6%, which is lower, thus worse than the value of 103.2% from the benchmark.

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 annual return (CAGR) over 5 years of Leveraged Gold-Currency Strategy is 16.7%, which is smaller, thus worse compared to the benchmark GLD (17.3%) in the same period.
• Compared with GLD (26.8%) in the period of the last 3 years, the annual performance (CAGR) of 21% is lower, thus worse.

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.'

• The historical 30 days volatility over 5 years of Leveraged Gold-Currency Strategy is 13%, which is smaller, thus better compared to the benchmark GLD (19.1%) in the same period.
• Compared with GLD (21.8%) in the period of the last 3 years, the 30 days standard deviation of 13.8% is lower, thus better.

DownVol:

'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 (13.5%) in the period of the last 5 years, the downside deviation of 9.3% of Leveraged Gold-Currency Strategy is lower, thus better.
• Compared with GLD (15.6%) in the period of the last 3 years, the downside volatility of 10% is lower, thus better.

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.'

• Compared with the benchmark GLD (0.77) in the period of the last 5 years, the Sharpe Ratio of 1.09 of Leveraged Gold-Currency Strategy is higher, thus better.
• Compared with GLD (1.11) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.34 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.'

• Looking at the downside risk / excess return profile of 1.53 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (1.09)
• Looking at excess return divided by the downside deviation in of 1.85 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (1.56).

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 Ulcer Ratio of 6.49 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (9.87 )
• Compared with GLD (9.8 ) in the period of the last 3 years, the Ulcer Index of 5.78 is lower, 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.'

• The maximum DrawDown over 5 years of Leveraged Gold-Currency Strategy is -15.2 days, which is larger, thus better compared to the benchmark GLD (-28.3 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -14.7 days, which is greater, thus better than the value of -28.3 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 days below previous high over 5 years of Leveraged Gold-Currency Strategy is 456 days, which is larger, thus worse compared to the benchmark GLD (436 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 194 days, which is larger, thus worse than the value of 194 days from the benchmark.

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 time in days below previous high water mark of 117 days in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively higher, thus worse in comparison to the benchmark GLD (109 days)
• During the last 3 years, the average time in days below previous high water mark is 47 days, which is higher, thus worse than the value of 41 days from the benchmark.