Description of Aggressive Gold-USD sub-strategy

This is the aggressive sub-strategy of the leveraged GLD-USD strategy.

Statistics of Aggressive Gold-USD sub-strategy (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark GLD (7.7%) in the period of the last 5 years, the total return, or performance of 121.7% of Aggressive Gold-USD sub-strategy is higher, thus better.
  • Looking at total return, or increase in value in of 27.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (6.1%).

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.'

Which means for our asset as example:
  • Looking at the compounded annual growth rate (CAGR) of 17.3% in the last 5 years of Aggressive Gold-USD sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (1.5%)
  • Compared with GLD (2%) in the period of the last 3 years, the annual return (CAGR) of 8.5% is higher, thus better.

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.'

Which means for our asset as example:
  • Looking at the historical 30 days volatility of 14.2% in the last 5 years of Aggressive Gold-USD sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark GLD (13%)
  • During the last 3 years, the 30 days standard deviation is 11.5%, which is larger, thus worse than the value of 10.6% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Which means for our asset as example:
  • Compared with the benchmark GLD (12.8%) in the period of the last 5 years, the downside deviation of 14.2% of Aggressive Gold-USD sub-strategy is greater, thus worse.
  • Compared with GLD (11%) in the period of the last 3 years, the downside volatility of 11.9% is higher, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark GLD (-0.08) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.04 of Aggressive Gold-USD sub-strategy is higher, thus better.
  • Compared with GLD (-0.05) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.52 is greater, thus better.

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.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of Aggressive Gold-USD sub-strategy is 1.04, which is higher, thus better compared to the benchmark GLD (-0.08) in the same period.
  • Compared with GLD (-0.05) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.51 is larger, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark GLD (9.51 ) in the period of the last 5 years, the Ulcer Index of 4.61 of Aggressive Gold-USD sub-strategy is lower, thus better.
  • During the last 3 years, the Downside risk index is 4.59 , which is lower, thus better than the value of 8.14 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum DrawDown of -12.4 days in the last 5 years of Aggressive Gold-USD sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (-20.9 days)
  • Compared with GLD (-17.6 days) in the period of the last 3 years, the maximum DrawDown of -12.1 days is higher, thus better.

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.'

Which means for our asset as example:
  • Looking at the maximum time in days below previous high water mark of 168 days in the last 5 years of Aggressive Gold-USD sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (741 days)
  • During the last 3 years, the maximum days below previous high is 166 days, which is lower, thus better than the value of 724 days from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the average days below previous high of 42 days in the last 5 years of Aggressive Gold-USD sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (318 days)
  • Compared with GLD (353 days) in the period of the last 3 years, the average days below previous high of 44 days is lower, thus better.

Performance of Aggressive Gold-USD sub-strategy (YTD)

Historical returns have been extended using synthetic data.

Allocations of Aggressive Gold-USD sub-strategy
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Allocations

Returns of Aggressive Gold-USD sub-strategy (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Aggressive Gold-USD sub-strategy are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.