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 performance over 5 years of Gold-Currency Strategy II is 45%, which is lower, thus worse compared to the benchmark GLD (70.1%) in the same period.
• Compared with GLD (46.9%) in the period of the last 3 years, the total return of 21.9% is lower, thus worse.

CAGR:

'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.'

• Looking at the annual performance (CAGR) of 7.7% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (11.2%)
• During the last 3 years, the annual return (CAGR) is 6.9%, which is lower, thus worse than the value of 13.7% 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 (15.5%) in the period of the last 5 years, the 30 days standard deviation of 9.9% of Gold-Currency Strategy II is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 10%, which is smaller, thus better than the value of 14.6% from the benchmark.

DownVol:

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

• Looking at the downside deviation of 7.3% in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus better in comparison to the benchmark GLD (11%)
• Compared with GLD (9.9%) in the period of the last 3 years, the downside volatility of 7.2% is lower, thus better.

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.'

• Compared with the benchmark GLD (0.56) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.53 of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.44, which is smaller, thus worse than the value of 0.77 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.'

• Compared with the benchmark GLD (0.8) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.71 of Gold-Currency Strategy II is smaller, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.6, which is lower, thus worse than the value of 1.14 from the benchmark.

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.'

• Looking at the Ulcer Ratio of 7.19 in the last 5 years of Gold-Currency Strategy II, we see it is relatively smaller, thus better in comparison to the benchmark GLD (9.79 )
• During the last 3 years, the Ulcer Ratio is 8.08 , which is lower, thus better than the value of 8.29 from the benchmark.

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.'

• Compared with the benchmark GLD (-22 days) in the period of the last 5 years, the maximum DrawDown of -13.8 days of Gold-Currency Strategy II is larger, thus better.
• Compared with GLD (-21 days) in the period of the last 3 years, the maximum reduction from previous high of -13.8 days is higher, thus better.

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 590 days, which is larger, thus worse than the value of 436 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.'

• Compared with the benchmark GLD (346 days) in the period of the last 5 years, the average days under water of 215 days of Gold-Currency Strategy II is smaller, thus better.
• Looking at average time in days below previous high water mark in of 243 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (142 days).