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.'

• Compared with the benchmark AGG (-3.8%) in the period of the last 5 years, the total return of 60.2% of BUG Permanent Portfolio Strategy is larger, thus better.
• Looking at total return, or increase in value in of 22.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (5.4%).

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.'

• Compared with the benchmark AGG (-0.8%) in the period of the last 5 years, the annual performance (CAGR) of 9.9% of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the annual performance (CAGR) is 7.1%, which is larger, thus better than the value of 1.8% 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 7.5%, which is higher, thus worse compared to the benchmark AGG (6%) in the same period.
• Compared with AGG (6.9%) in the period of the last 3 years, the 30 days standard deviation of 6.6% is lower, thus better.

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 (4.3%) in the period of the last 5 years, the downside volatility of 5.3% of BUG Permanent Portfolio Strategy is higher, thus worse.
• Looking at downside risk in of 4.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (4.7%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of BUG Permanent Portfolio Strategy is 0.99, which is larger, thus better compared to the benchmark AGG (-0.54) in the same period.
• Looking at Sharpe Ratio in of 0.7 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-0.11).

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.'

• Compared with the benchmark AGG (-0.77) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.41 of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 1, which is greater, thus better than the value of -0.15 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of BUG Permanent Portfolio Strategy is 4.5 , which is smaller, thus better compared to the benchmark AGG (9.47 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 2.28 , which is lower, thus better than the value of 3.8 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum DrawDown over 5 years of BUG Permanent Portfolio Strategy is -11 days, which is higher, thus better compared to the benchmark AGG (-18.4 days) in the same period.
• Compared with AGG (-9.8 days) in the period of the last 3 years, the maximum DrawDown of -6 days is greater, 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.'

• Compared with the benchmark AGG (1214 days) in the period of the last 5 years, the maximum days under water of 545 days of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at maximum days under water in of 208 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (487 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.'

• The average days under water over 5 years of BUG Permanent Portfolio Strategy is 145 days, which is smaller, thus better compared to the benchmark AGG (599 days) in the same period.
• Looking at average days under water in of 49 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (186 days).