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 is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • The total return over 5 years of Aggressive Gold-USD sub-strategy is 86.2%, which is larger, thus better compared to the benchmark GLD (18.6%) in the same period.
  • Compared with GLD (17.1%) in the period of the last 3 years, the total return of 19.1% is larger, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark GLD (3.5%) in the period of the last 5 years, the annual performance (CAGR) of 13.3% of Aggressive Gold-USD sub-strategy is greater, thus better.
  • Compared with GLD (5.4%) in the period of the last 3 years, the annual return (CAGR) of 6% is larger, thus better.

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:
  • The historical 30 days volatility over 5 years of Aggressive Gold-USD sub-strategy is 14.1%, which is larger, thus worse compared to the benchmark GLD (13.1%) in the same period.
  • Compared with GLD (10.8%) in the period of the last 3 years, the 30 days standard deviation of 11.4% is larger, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of Aggressive Gold-USD sub-strategy is 14.3%, which is larger, thus worse compared to the benchmark GLD (13%) in the same period.
  • Compared with GLD (11.2%) in the period of the last 3 years, the downside risk 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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.76 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 (0.07)
  • During the last 3 years, the risk / return profile (Sharpe) is 0.31, which is larger, thus better than the value of 0.27 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of Aggressive Gold-USD sub-strategy is 0.75, which is larger, thus better compared to the benchmark GLD (0.07) in the same period.
  • During the last 3 years, the downside risk / excess return profile is 0.3, which is larger, thus better than the value of 0.26 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:
  • The Ulcer Index over 5 years of Aggressive Gold-USD sub-strategy is 6.06 , which is lower, thus better compared to the benchmark GLD (8.84 ) in the same period.
  • Looking at Ulcer Index in of 6.76 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (6.21 ).

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:
  • The maximum reduction from previous high over 5 years of Aggressive Gold-USD sub-strategy is -14.8 days, which is higher, thus better compared to the benchmark GLD (-19.7 days) in the same period.
  • Compared with GLD (-13.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -14.8 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) in days.'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of Aggressive Gold-USD sub-strategy is 347 days, which is lower, thus better compared to the benchmark GLD (741 days) in the same period.
  • Compared with GLD (352 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 347 days is smaller, thus better.

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:
  • Looking at the average time in days below previous high water mark of 77 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 (279 days)
  • Compared with GLD (122 days) in the period of the last 3 years, the average days below previous high of 100 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.