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:

'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.'

Which means for our asset as example:
  • Compared with the benchmark GLD (-3.5%) in the period of the last 5 years, the total return of 136% of Aggressive Gold-USD sub-strategy is higher, thus better.
  • Compared with GLD (0.5%) in the period of the last 3 years, the total return, or increase in value of 38.4% is greater, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark GLD (-0.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 18.8% of Aggressive Gold-USD sub-strategy is higher, thus better.
  • Looking at annual performance (CAGR) in of 11.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (0.2%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark GLD (12.9%) in the period of the last 5 years, the 30 days standard deviation of 14% of Aggressive Gold-USD sub-strategy is higher, thus worse.
  • Compared with GLD (10.9%) in the period of the last 3 years, the historical 30 days volatility of 12% is larger, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark GLD (12.7%) in the period of the last 5 years, the downside deviation of 14% of Aggressive Gold-USD sub-strategy is larger, thus worse.
  • Compared with GLD (11.1%) in the period of the last 3 years, the downside risk of 12.2% is larger, 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.'

Which means for our asset as example:
  • Compared with the benchmark GLD (-0.25) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.16 of Aggressive Gold-USD sub-strategy is higher, thus better.
  • Looking at Sharpe Ratio in of 0.75 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (-0.21).

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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of Aggressive Gold-USD sub-strategy is 1.16, which is higher, thus better compared to the benchmark GLD (-0.25) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 0.74, which is greater, thus better than the value of -0.21 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark GLD (9.99 ) in the period of the last 5 years, the Ulcer Ratio of 4.4 of Aggressive Gold-USD sub-strategy is lower, thus worse.
  • During the last 3 years, the Ulcer Index is 4.25 , which is smaller, thus worse than the value of 8.27 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum drop from peak to valley of -12.4 days in the last 5 years of Aggressive Gold-USD sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (-22 days)
  • During the last 3 years, the maximum reduction from previous high is -12.1 days, which is higher, thus better than the value of -17.8 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) in days.'

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 smaller, thus better in comparison to the benchmark GLD (721 days)
  • Compared with GLD (721 days) in the period of the last 3 years, the maximum days below previous high of 166 days is smaller, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark GLD (308 days) in the period of the last 5 years, the average time in days below previous high water mark of 40 days of Aggressive Gold-USD sub-strategy is lower, thus better.
  • Looking at average days below previous high in of 40 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (351 days).

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.