BUG Permanent Portfolio Strategy

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 over 5 years of BUG Permanent Portfolio Strategy is 52.9%, which is larger, thus better compared to the benchmark AGG (-1.7%) in the same period.
• Compared with AGG (16.1%) in the period of the last 3 years, the total return, or performance of 39.7% is higher, thus better.

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 BUG Permanent Portfolio Strategy is 8.9%, which is higher, thus better compared to the benchmark AGG (-0.3%) in the same period.
• Looking at annual return (CAGR) in of 11.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (5.2%).

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 historical 30 days volatility over 5 years of BUG Permanent Portfolio Strategy is 6.9%, which is greater, thus worse compared to the benchmark AGG (6.1%) in the same period.
• Compared with AGG (6.3%) in the period of the last 3 years, the volatility of 6.2% is lower, thus better.

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 BUG Permanent Portfolio Strategy is 4.8%, which is larger, thus worse compared to the benchmark AGG (4.3%) in the same period.
• Compared with AGG (4.2%) in the period of the last 3 years, the downside risk of 4.1% is lower, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark AGG (-0.47) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.93 of BUG Permanent Portfolio Strategy is greater, thus better.
• Compared with AGG (0.42) in the period of the last 3 years, the Sharpe Ratio of 1.51 is higher, 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 excess return divided by the downside deviation over 5 years of BUG Permanent Portfolio Strategy is 1.33, which is larger, thus better compared to the benchmark AGG (-0.66) in the same period.
• Compared with AGG (0.63) in the period of the last 3 years, the downside risk / excess return profile of 2.27 is greater, 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.'

• Compared with the benchmark AGG (9.23 ) in the period of the last 5 years, the Ulcer Ratio of 4.48 of BUG Permanent Portfolio Strategy is smaller, thus better.
• Looking at Ulcer Ratio in of 1.49 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (2.34 ).

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.'

• The maximum DrawDown over 5 years of BUG Permanent Portfolio Strategy is -11 days, which is greater, thus better compared to the benchmark AGG (-18.1 days) in the same period.
• Looking at maximum DrawDown in of -4.7 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-7.4 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). 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'

• 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 (1196 days)
• During the last 3 years, the maximum days below previous high is 94 days, which is lower, thus better than the value of 195 days from the benchmark.

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 days under water over 5 years of BUG Permanent Portfolio Strategy is 146 days, which is smaller, thus better compared to the benchmark AGG (576 days) in the same period.
• Compared with AGG (61 days) in the period of the last 3 years, the average days under water of 24 days is smaller, thus better.