Gold-Currency Strategy II

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.'

• Compared with the benchmark GLD (90.1%) in the period of the last 5 years, the total return, or performance of 78.1% of Gold-Currency Strategy II is lower, thus worse.
• Compared with GLD (67.1%) in the period of the last 3 years, the total return, or performance of 44.3% is lower, thus worse.

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.'

• Looking at the annual return (CAGR) of 12.3% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (13.7%)
• Compared with GLD (18.7%) in the period of the last 3 years, the annual performance (CAGR) of 13.1% is lower, thus worse.

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.'

• Compared with the benchmark GLD (15%) in the period of the last 5 years, the 30 days standard deviation of 10.3% of Gold-Currency Strategy II is lower, thus better.
• Compared with GLD (14.8%) in the period of the last 3 years, the historical 30 days volatility of 10.6% is smaller, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark GLD (10.5%) in the period of the last 5 years, the downside risk of 7.2% of Gold-Currency Strategy II is lower, thus better.
• Looking at downside volatility in of 7.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (9.8%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the risk / return profile (Sharpe) of 0.95 in the last 5 years of Gold-Currency Strategy II, we see it is relatively larger, thus better in comparison to the benchmark GLD (0.75)
• Looking at risk / return profile (Sharpe) in of 1 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.1).

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.'

• The excess return divided by the downside deviation over 5 years of Gold-Currency Strategy II is 1.35, which is larger, thus better compared to the benchmark GLD (1.07) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.47 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (1.66).

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.'

• Compared with the benchmark GLD (9.75 ) in the period of the last 5 years, the Ulcer Ratio of 7.07 of Gold-Currency Strategy II is smaller, thus better.
• Compared with GLD (6.65 ) in the period of the last 3 years, the Downside risk index of 5.44 is lower, thus better.

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.'

• The maximum DrawDown over 5 years of Gold-Currency Strategy II is -13.8 days, which is greater, thus better compared to the benchmark GLD (-22 days) in the same period.
• Looking at maximum drop from peak to valley in of -10.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (-18.1 days).

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.'

• Compared with the benchmark GLD (897 days) in the period of the last 5 years, the maximum days below previous high of 590 days of Gold-Currency Strategy II is smaller, thus better.
• During the last 3 years, the maximum days below previous high is 497 days, which is higher, thus worse than the value of 233 days from the benchmark.

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.'

• The average days below previous high over 5 years of Gold-Currency Strategy II is 218 days, which is lower, thus better compared to the benchmark GLD (348 days) in the same period.
• Compared with GLD (62 days) in the period of the last 3 years, the average time in days below previous high water mark of 180 days is larger, thus worse.