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.'

• The total return over 5 years of Leveraged Gold-Currency Strategy is 147%, which is lower, thus worse compared to the benchmark GLD (171%) in the same period.
• Compared with GLD (168.2%) in the period of the last 3 years, the total return of 87.7% is lower, thus worse.

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.'

• Compared with the benchmark GLD (22.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 19.9% of Leveraged Gold-Currency Strategy is smaller, thus worse.
• Compared with GLD (39.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 23.5% 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.'

• Compared with the benchmark GLD (17%) in the period of the last 5 years, the 30 days standard deviation of 12.3% of Leveraged Gold-Currency Strategy is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 13.1%, which is smaller, thus better than the value of 18.6% from the benchmark.

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.'

• Looking at the downside risk of 8.6% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (11.8%)
• Compared with GLD (12.7%) in the period of the last 3 years, the downside deviation of 9.2% is lower, thus better.

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.'

• The Sharpe Ratio over 5 years of Leveraged Gold-Currency Strategy is 1.41, which is higher, thus better compared to the benchmark GLD (1.15) in the same period.
• Looking at Sharpe Ratio in of 1.61 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (1.97).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of 2.02 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (1.67)
• Compared with GLD (2.88) in the period of the last 3 years, the excess return divided by the downside deviation of 2.29 is smaller, thus worse.

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.'

• Compared with the benchmark GLD (7.08 ) in the period of the last 5 years, the Ulcer Ratio of 5.35 of Leveraged Gold-Currency Strategy is lower, thus better.
• Looking at Ulcer Index in of 4.27 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (3.84 ).

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.'

• Looking at the maximum DrawDown of -15.3 days in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (-21 days)
• During the last 3 years, the maximum reduction from previous high is -12 days, which is greater, thus better than the value of -13.9 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.'

• Looking at the maximum days below previous high of 471 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 (436 days)
• Looking at maximum days under water 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 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)
• During the last 3 years, the average days under water is 54 days, which is higher, thus worse than the value of 29 days from the benchmark.