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.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of Aggressive Gold-USD sub-strategy is 47.1%, which is higher, thus better compared to the benchmark GLD (41.5%) in the same period.
  • Compared with GLD (33.7%) in the period of the last 3 years, the total return, or performance of 0.1% is smaller, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:
  • The compounded annual growth rate (CAGR) over 5 years of Aggressive Gold-USD sub-strategy is 8%, which is higher, thus better compared to the benchmark GLD (7.2%) in the same period.
  • Looking at annual return (CAGR) in of 0% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (10.2%).

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of Aggressive Gold-USD sub-strategy is 13.6%, which is higher, thus worse compared to the benchmark GLD (13.3%) in the same period.
  • Compared with GLD (12.7%) in the period of the last 3 years, the historical 30 days volatility of 12.5% is smaller, thus better.

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:
  • The downside deviation over 5 years of Aggressive Gold-USD sub-strategy is 9.3%, which is higher, thus worse compared to the benchmark GLD (9%) in the same period.
  • Looking at downside deviation in of 8.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to GLD (8.6%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark GLD (0.35) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.41 of Aggressive Gold-USD sub-strategy is greater, thus better.
  • Looking at risk / return profile (Sharpe) in of -0.2 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (0.61).

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:
  • Compared with the benchmark GLD (0.52) in the period of the last 5 years, the downside risk / excess return profile of 0.6 of Aggressive Gold-USD sub-strategy is larger, thus better.
  • During the last 3 years, the excess return divided by the downside deviation is -0.28, which is lower, thus worse than the value of 0.9 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Aggressive Gold-USD sub-strategy is 7.46 , which is greater, thus worse compared to the benchmark GLD (7.21 ) in the same period.
  • Compared with GLD (5.62 ) in the period of the last 3 years, the Ulcer Index of 8.81 is larger, thus worse.

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.'

Which means for our asset as example:
  • Looking at the maximum DrawDown of -18.9 days in the last 5 years of Aggressive Gold-USD sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark GLD (-17.8 days)
  • During the last 3 years, the maximum DrawDown is -18.9 days, which is smaller, thus worse than the value of -13.8 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). 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:
  • Looking at the maximum time in days below previous high water mark of 502 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 (741 days)
  • During the last 3 years, the maximum days under water is 502 days, which is larger, thus worse than the value of 352 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark GLD (244 days) in the period of the last 5 years, the average days under water of 129 days of Aggressive Gold-USD sub-strategy is lower, thus better.
  • Compared with GLD (103 days) in the period of the last 3 years, the average days under water of 184 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.