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.'

• Looking at the total return, or increase in value of 114.9% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus worse in comparison to the benchmark GLD (140%)
• Compared with GLD (126.5%) in the period of the last 3 years, the total return, or performance of 63.6% 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 (19.2%) in the period of the last 5 years, the annual return (CAGR) of 16.6% of Leveraged Gold-Currency Strategy is lower, thus worse.
• Compared with GLD (31.5%) in the period of the last 3 years, the annual return (CAGR) of 17.9% is smaller, 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.'

• Looking at the historical 30 days volatility of 13% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (18.8%)
• Compared with GLD (21.3%) in the period of the last 3 years, the 30 days standard deviation of 13.9% is smaller, 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 (13.2%) in the period of the last 5 years, the downside deviation of 9.3% of Leveraged Gold-Currency Strategy is smaller, thus better.
• During the last 3 years, the downside deviation is 10.1%, which is lower, thus better than the value of 15.1% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The risk / return profile (Sharpe) over 5 years of Leveraged Gold-Currency Strategy is 1.08, which is greater, thus better compared to the benchmark GLD (0.89) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.11 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (1.36).

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 excess return divided by the downside deviation of 1.51 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (1.27)
• During the last 3 years, the downside risk / excess return profile is 1.53, which is lower, thus worse than the value of 1.92 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 Ulcer Index over 5 years of Leveraged Gold-Currency Strategy is 6.27 , which is lower, thus better compared to the benchmark GLD (8.95 ) in the same period.
• Looking at Downside risk index in of 5.35 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (8.2 ).

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 drop from peak to valley over 5 years of Leveraged Gold-Currency Strategy is -15.3 days, which is larger, thus better compared to the benchmark GLD (-26.4 days) in the same period.
• Compared with GLD (-26.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -14.9 days is larger, thus better.

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 471 days, which is larger, thus worse compared to the benchmark GLD (436 days) in the same period.
• Compared with GLD (153 days) in the period of the last 3 years, the maximum days under water of 153 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.'

• Compared with the benchmark GLD (103 days) in the period of the last 5 years, the average days below previous high of 119 days of Leveraged Gold-Currency Strategy is larger, thus worse.
• During the last 3 years, the average days below previous high is 38 days, which is larger, thus worse than the value of 31 days from the benchmark.