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.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of Aggressive Gold-USD sub-strategy is 137.7%, which is larger, thus better compared to the benchmark GLD (-3.3%) in the same period.
  • During the last 3 years, the total return, or increase in value is 48.6%, which is greater, thus better than the value of 3.2% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the compounded annual growth rate (CAGR) of 18.9% 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 (-0.7%)
  • During the last 3 years, the annual performance (CAGR) is 14.1%, which is higher, thus better than the value of 1.1% 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.'

Which means for our asset as example:
  • Compared with the benchmark GLD (13%) in the period of the last 5 years, the historical 30 days volatility of 19% of Aggressive Gold-USD sub-strategy is greater, thus worse.
  • During the last 3 years, the volatility is 12.4%, which is higher, thus worse than the value of 11.4% 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.'

Which means for our asset as example:
  • Compared with the benchmark GLD (12.7%) in the period of the last 5 years, the downside risk of 18.4% of Aggressive Gold-USD sub-strategy is larger, thus worse.
  • During the last 3 years, the downside volatility is 12.6%, which is higher, thus worse than the value of 11.6% 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.'

Which means for our asset as example:
  • Looking at the Sharpe Ratio of 0.86 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 (-0.24)
  • During the last 3 years, the Sharpe Ratio is 0.94, which is higher, thus better than the value of -0.13 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of 0.89 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 (-0.25)
  • During the last 3 years, the excess return divided by the downside deviation is 0.92, which is greater, thus better than the value of -0.12 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.'

Applying this definition to our asset in some examples:
  • The Downside risk index over 5 years of Aggressive Gold-USD sub-strategy is 6.17 , which is lower, thus worse compared to the benchmark GLD (9.94 ) in the same period.
  • Looking at Ulcer Ratio in of 4.21 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (8.13 ).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark GLD (-22 days) in the period of the last 5 years, the maximum drop from peak to valley of -18.6 days of Aggressive Gold-USD sub-strategy is greater, thus better.
  • Looking at maximum reduction from previous high in of -12.1 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (-17.8 days).

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high 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 (679 days)
  • Looking at maximum days below previous high in of 166 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (679 days).

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 (286 days) in the period of the last 5 years, the average days below previous high of 44 days of Aggressive Gold-USD sub-strategy is lower, thus better.
  • Looking at average time in days below previous high water mark in of 38 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (311 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.