Gold-Currency Strategy II

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.'

• Looking at the total return, or performance of 110.7% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (138.8%)
• Compared with GLD (119.7%) in the period of the last 3 years, the total return of 120.2% is higher, 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.'

• The annual return (CAGR) over 5 years of Gold-Currency Strategy II is 16.2%, which is lower, thus worse compared to the benchmark GLD (19.1%) in the same period.
• Compared with GLD (30.2%) in the period of the last 3 years, the annual return (CAGR) of 30.3% 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.'

• Compared with the benchmark GLD (18.8%) in the period of the last 5 years, the historical 30 days volatility of 15.2% of Gold-Currency Strategy II is smaller, thus better.
• Compared with GLD (21.4%) in the period of the last 3 years, the volatility of 18.6% is lower, thus better.

DownVol:

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

• The downside volatility over 5 years of Gold-Currency Strategy II is 10.8%, which is smaller, thus better compared to the benchmark GLD (13.2%) in the same period.
• Compared with GLD (15.2%) in the period of the last 3 years, the downside risk of 13.2% is lower, thus better.

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.'

• Compared with the benchmark GLD (0.88) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.9 of Gold-Currency Strategy II is higher, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 1.49 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (1.29).

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.'

• The downside risk / excess return profile over 5 years of Gold-Currency Strategy II is 1.26, which is greater, thus better compared to the benchmark GLD (1.26) in the same period.
• Looking at ratio of annual return and downside deviation in of 2.11 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (1.82).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark GLD (9.03 ) in the period of the last 5 years, the Ulcer Ratio of 7.88 of Gold-Currency Strategy II is lower, thus better.
• Compared with GLD (8.37 ) in the period of the last 3 years, the Ulcer Index of 6.36 is lower, thus better.

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.'

• Compared with the benchmark GLD (-26.4 days) in the period of the last 5 years, the maximum DrawDown of -19.2 days of Gold-Currency Strategy II is greater, thus better.
• During the last 3 years, the maximum DrawDown is -19.2 days, which is higher, thus better than the value of -26.4 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.'

• Looking at the maximum time in days below previous high water mark of 590 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively higher, thus worse in comparison to the benchmark GLD (436 days)
• During the last 3 years, the maximum days under water is 158 days, which is greater, thus worse than the value of 158 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.'

• Looking at the average time in days below previous high water mark of 169 days in the last 5 years of Gold-Currency Strategy II, we see it is relatively higher, thus worse in comparison to the benchmark GLD (104 days)
• Looking at average days under water in of 33 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (32 days).