Enhanced Permanent Portfolio Strategy

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.'

• Looking at the total return of 62.8% in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (87%)
• During the last 3 years, the total return, or increase in value is 66.3%, which is lower, thus worse than the value of 78.1% 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.'

• The compounded annual growth rate (CAGR) over 5 years of Enhanced Permanent Portfolio Strategy is 10.3%, which is lower, thus worse compared to the benchmark SPY (13.4%) in the same period.
• During the last 3 years, the annual return (CAGR) is 18.5%, which is smaller, thus worse than the value of 21.3% from the benchmark.

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.'

• Looking at the 30 days standard deviation of 9.6% in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17.2%)
• Compared with SPY (15.4%) in the period of the last 3 years, the historical 30 days volatility of 9.9% is smaller, thus better.

DownVol:

'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 6.7%, which is lower, thus better compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside deviation in of 6.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10.3%).

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 Sharpe Ratio of 0.81 in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.63)
• During the last 3 years, the risk / return profile (Sharpe) is 1.61, which is larger, thus better than the value of 1.22 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 SPY (0.92) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.16 of Enhanced Permanent Portfolio Strategy is higher, thus better.
• Looking at excess return divided by the downside deviation in of 2.33 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (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 SPY (8.45 ) in the period of the last 5 years, the Ulcer Index of 4.9 of Enhanced Permanent Portfolio Strategy is smaller, thus better.
• During the last 3 years, the Downside risk index is 2.93 , which is lower, thus better than the value of 3.38 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -14.9 days of Enhanced Permanent Portfolio Strategy is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -10.5 days, which is higher, thus better than the value of -18.8 days from the benchmark.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 564 days of Enhanced Permanent Portfolio Strategy is larger, thus worse.
• Looking at maximum days under water in of 131 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 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 time in days below previous high water mark over 5 years of Enhanced Permanent Portfolio Strategy is 154 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average days under water in of 22 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18 days).