Enhanced Permanent Portfolio Strategy

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 increase in value of 62.3% in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (113.4%)
• During the last 3 years, the total return, or performance is 43.2%, which is smaller, thus worse than the value of 69.8% from the benchmark.

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 SPY (16.4%) in the period of the last 5 years, the annual return (CAGR) of 10.2% of Enhanced Permanent Portfolio Strategy is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 12.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.4%).

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.'

• The 30 days standard deviation over 5 years of Enhanced Permanent Portfolio Strategy is 8.9%, which is lower, thus better compared to the benchmark SPY (17.6%) in the same period.
• Looking at 30 days standard deviation in of 9.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.5%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• The downside volatility over 5 years of Enhanced Permanent Portfolio Strategy is 6.1%, which is smaller, thus better compared to the benchmark SPY (12.1%) in the same period.
• During the last 3 years, the downside volatility is 6%, which is lower, thus better than the value of 11.5% from the benchmark.

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 SPY (0.79) in the period of the last 5 years, the Sharpe Ratio of 0.87 of Enhanced Permanent Portfolio Strategy is higher, thus better.
• Looking at risk / return profile (Sharpe) in of 1.13 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.97).

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 Enhanced Permanent Portfolio Strategy is 1.26, which is greater, thus better compared to the benchmark SPY (1.15) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.71 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.47).

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 SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of 4.5 of Enhanced Permanent Portfolio Strategy is smaller, thus better.
• During the last 3 years, the Ulcer Ratio is 3.38 , which is smaller, thus better than the value of 5.31 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 SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -14.9 days of Enhanced Permanent Portfolio Strategy is larger, thus better.
• Looking at maximum reduction from previous high in of -11.6 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-18.8 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.'

• Looking at the maximum time in days below previous high water mark of 564 days in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 226 days, which is greater, thus worse than the value of 199 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 150 days in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average time in days below previous high water mark in of 50 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (47 days).