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.'

• The total return, or increase in value over 5 years of Enhanced Permanent Portfolio Strategy is 69.5%, which is lower, thus worse compared to the benchmark SPY (95.4%) in the same period.
• Looking at total return, or performance in of 30.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (46.9%).

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.'

• The annual return (CAGR) over 5 years of Enhanced Permanent Portfolio Strategy is 11.2%, which is lower, thus worse compared to the benchmark SPY (14.4%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 9.2%, which is smaller, thus worse than the value of 13.7% 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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the volatility of 9.6% of Enhanced Permanent Portfolio Strategy is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 9%, which is lower, thus better than the value of 17.2% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 6.7% of Enhanced Permanent Portfolio Strategy is smaller, thus better.
• Looking at downside volatility in of 6.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (11.9%).

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.'

• The risk / return profile (Sharpe) over 5 years of Enhanced Permanent Portfolio Strategy is 0.9, which is greater, thus better compared to the benchmark SPY (0.57) in the same period.
• Compared with SPY (0.66) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.74 is larger, thus better.

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.'

• The ratio of annual return and downside deviation over 5 years of Enhanced Permanent Portfolio Strategy is 1.29, which is higher, thus better compared to the benchmark SPY (0.79) in the same period.
• Looking at downside risk / excess return profile in of 1.09 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.94).

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.'

• Looking at the Ulcer Index of 4.57 in the last 5 years of Enhanced Permanent Portfolio Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.29 )
• Compared with SPY (8.57 ) in the period of the last 3 years, the Ulcer Ratio of 5.6 is lower, thus better.

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 (-33.4 days) in the period of the last 5 years, the maximum DrawDown of -14.9 days of Enhanced Permanent Portfolio Strategy is higher, thus better.
• Looking at maximum DrawDown in of -14.9 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-22.1 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 days under water 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)
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days under water of 436 days is higher, thus worse.

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.'

• The average time in days below previous high water mark over 5 years of Enhanced Permanent Portfolio Strategy is 151 days, which is larger, thus worse compared to the benchmark SPY (121 days) in the same period.
• Looking at average time in days below previous high water mark in of 144 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (90 days).