Gold-Currency Strategy II

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.'

• The total return, or increase in value over 5 years of Gold-Currency Strategy II is 51.6%, which is lower, thus worse compared to the benchmark GLD (77.8%) in the same period.
• Looking at total return, or performance in of 32.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (53%).

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.'

• Compared with the benchmark GLD (12.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 8.7% of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 9.9%, which is lower, thus worse than the value of 15.3% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark GLD (15.6%) in the period of the last 5 years, the 30 days standard deviation of 10% of Gold-Currency Strategy II is lower, thus better.
• Looking at historical 30 days volatility in of 10.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to GLD (14.6%).

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 (11%) in the period of the last 5 years, the downside risk of 7.3% of Gold-Currency Strategy II is lower, thus better.
• Looking at downside deviation in of 7.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to GLD (9.9%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.62 in the last 5 years of Gold-Currency Strategy II, we see it is relatively higher, thus better in comparison to the benchmark GLD (0.62)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.73, which is lower, thus worse than the value of 0.88 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.'

• Compared with the benchmark GLD (0.89) in the period of the last 5 years, the excess return divided by the downside deviation of 0.84 of Gold-Currency Strategy II is lower, thus worse.
• Looking at excess return divided by the downside deviation in of 1.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (1.3).

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.'

• Compared with the benchmark GLD (9.79 ) in the period of the last 5 years, the Downside risk index of 7.18 of Gold-Currency Strategy II is lower, thus better.
• Compared with GLD (8.3 ) in the period of the last 3 years, the Ulcer Ratio of 8.09 is smaller, 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.'

• Looking at the maximum DrawDown of -13.8 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively greater, thus better in comparison to the benchmark GLD (-22 days)
• During the last 3 years, the maximum reduction from previous high is -13.8 days, which is larger, thus better than the value of -21 days from the benchmark.

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.'

• The maximum time in days below previous high water mark over 5 years of Gold-Currency Strategy II is 590 days, which is smaller, thus better compared to the benchmark GLD (897 days) in the same period.
• Looking at maximum days under water in of 590 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (436 days).

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 215 days, which is lower, thus better compared to the benchmark GLD (347 days) in the same period.
• Looking at average days under water in of 247 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (144 days).