Description

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

Statistics (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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 65.1% 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 (33.1%)
  • During the last 3 years, the total return, or performance is 4%, which is lower, thus worse than the value of 28.6% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark GLD (5.9%) in the period of the last 5 years, the annual return (CAGR) of 10.6% of Aggressive Gold-USD sub-strategy is greater, thus better.
  • During the last 3 years, the annual return (CAGR) is 1.3%, which is smaller, thus worse than the value of 8.8% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark GLD (12.3%) in the period of the last 5 years, the volatility of 12.9% of Aggressive Gold-USD sub-strategy is higher, thus worse.
  • Looking at historical 30 days volatility in of 10.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (10.5%).

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.'

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 8.7% in the last 5 years of Aggressive Gold-USD sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark GLD (8.4%)
  • Compared with GLD (7.1%) in the period of the last 3 years, the downside volatility of 7.8% is greater, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark GLD (0.27) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.62 of Aggressive Gold-USD sub-strategy is greater, thus better.
  • Looking at Sharpe Ratio in of -0.11 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (0.6).

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.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of Aggressive Gold-USD sub-strategy is 0.93, which is higher, thus better compared to the benchmark GLD (0.4) in the same period.
  • During the last 3 years, the downside risk / excess return profile is -0.15, which is lower, thus worse than the value of 0.88 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:
  • Looking at the Downside risk index of 7.06 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 (7.43 )
  • Compared with GLD (5.55 ) in the period of the last 3 years, the Ulcer Index of 8.24 is greater, thus worse.

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.'

Using this definition on our asset we see for example:
  • The maximum DrawDown over 5 years of Aggressive Gold-USD sub-strategy is -16 days, which is greater, thus better compared to the benchmark GLD (-17.8 days) in the same period.
  • Compared with GLD (-13.8 days) in the period of the last 3 years, the maximum reduction from previous high of -16 days is lower, thus worse.

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'

Which means for our asset as example:
  • Compared with the benchmark GLD (741 days) in the period of the last 5 years, the maximum days below previous high of 439 days of Aggressive Gold-USD sub-strategy is lower, thus better.
  • Compared with GLD (352 days) in the period of the last 3 years, the maximum days under water of 439 days is greater, 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.'

Which means for our asset as example:
  • Compared with the benchmark GLD (246 days) in the period of the last 5 years, the average days under water of 106 days of Aggressive Gold-USD sub-strategy is lower, thus better.
  • Compared with GLD (102 days) in the period of the last 3 years, the average time in days below previous high water mark of 145 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal 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.