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

'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of 88.8% in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark GLD (64%)
- Looking at total return, or increase in value in of 26.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (12.8%).

'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 Gold-USD Aggressive Sub-strategy is 13.6%, which is greater, thus better compared to the benchmark GLD (10.4%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of 8.2% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (4.1%).

'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 (14.8%) in the period of the last 5 years, the 30 days standard deviation of 17.6% of Gold-USD Aggressive Sub-strategy is higher, thus worse.
- Looking at volatility in of 17.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to GLD (14.1%).

'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:- Looking at the downside deviation of 12.4% in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark GLD (10.4%)
- During the last 3 years, the downside risk is 13%, which is greater, thus worse than the value of 9.8% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark GLD (0.53) in the period of the last 5 years, the Sharpe Ratio of 0.63 of Gold-USD Aggressive Sub-strategy is higher, thus better.
- Compared with GLD (0.11) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.32 is larger, thus better.

'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.'

Which means for our asset as example:- The downside risk / excess return profile over 5 years of Gold-USD Aggressive Sub-strategy is 0.9, which is higher, thus better compared to the benchmark GLD (0.76) in the same period.
- Looking at excess return divided by the downside deviation in of 0.44 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (0.16).

'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 Downside risk index over 5 years of Gold-USD Aggressive Sub-strategy is 11 , which is higher, thus worse compared to the benchmark GLD (9.79 ) in the same period.
- Compared with GLD (9.53 ) in the period of the last 3 years, the Ulcer Ratio of 13 is larger, thus worse.

'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:- The maximum reduction from previous high over 5 years of Gold-USD Aggressive Sub-strategy is -26 days, which is lower, thus worse compared to the benchmark GLD (-22 days) in the same period.
- During the last 3 years, the maximum drop from peak to valley is -26 days, which is lower, thus worse than the value of -21 days from the benchmark.

'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:- Looking at the maximum time in days below previous high water mark of 396 days in the last 5 years of Gold-USD Aggressive Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (833 days)
- Looking at maximum time in days below previous high water mark in of 277 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (434 days).

'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.'

Applying this definition to our asset in some examples:- The average time in days below previous high water mark over 5 years of Gold-USD Aggressive Sub-strategy is 115 days, which is lower, thus better compared to the benchmark GLD (303 days) in the same period.
- Looking at average days under water in of 88 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (185 days).

Historical returns have been extended using synthetic data.
[Show Details]

Allocations and holdings shown below are delayed by one month.

Register now to get the current trading allocations.

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Gold-USD Aggressive 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.