BUG 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 55.7% in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-4.7%)
• Looking at total return, or increase in value in of 14.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-1.4%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 9.3%, which is higher, thus better compared to the benchmark AGG (-1%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 4.7%, which is higher, thus better than the value of -0.5% 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.'

• The historical 30 days volatility over 5 years of BUG Permanent Portfolio Strategy is 8.7%, which is greater, thus worse compared to the benchmark AGG (6.9%) in the same period.
• During the last 3 years, the historical 30 days volatility is 6.6%, which is lower, thus better than the value of 7% 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 AGG (5.1%) in the period of the last 5 years, the downside risk of 6.4% of BUG Permanent Portfolio Strategy is higher, thus worse.
• During the last 3 years, the downside deviation is 4.8%, which is lower, thus better than the value of 4.9% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of BUG Permanent Portfolio Strategy is 0.78, which is larger, thus better compared to the benchmark AGG (-0.5) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.34, which is higher, thus better than the value of -0.42 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark AGG (-0.68) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.06 of BUG Permanent Portfolio Strategy is larger, thus better.
• Compared with AGG (-0.6) in the period of the last 3 years, the downside risk / excess return profile of 0.47 is larger, thus better.

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.'

• The Ulcer Index over 5 years of BUG Permanent Portfolio Strategy is 4.69 , which is smaller, thus better compared to the benchmark AGG (9.36 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 4.58 , which is lower, thus better than the value of 6.94 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 AGG (-18.4 days) in the period of the last 5 years, the maximum reduction from previous high of -16.3 days of BUG Permanent Portfolio Strategy is greater, thus better.
• Compared with AGG (-13.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -9.6 days is larger, 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.'

• Looking at the maximum days under water of 545 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (1153 days)
• Looking at maximum days under water in of 466 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (630 days).

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 AGG (542 days) in the period of the last 5 years, the average days under water of 145 days of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at average time in days below previous high water mark in of 164 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (274 days).