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.'

• The total return, or increase in value over 5 years of BUG Permanent Portfolio Strategy is 35.8%, which is higher, thus better compared to the benchmark AGG (-0.8%) in the same period.
• Looking at total return in of 42.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (16.6%).

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 compounded annual growth rate (CAGR) over 5 years of BUG Permanent Portfolio Strategy is 6.3%, which is higher, thus better compared to the benchmark AGG (-0.2%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 12.7%, which is higher, thus better than the value of 5.3% from the benchmark.

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 7.4%, which is higher, thus worse compared to the benchmark AGG (6.1%) in the same period.
• Compared with AGG (5.1%) in the period of the last 3 years, the volatility of 7.8% is larger, thus worse.

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 risk over 5 years of BUG Permanent Portfolio Strategy is 5.3%, which is larger, thus worse compared to the benchmark AGG (4.3%) in the same period.
• Looking at downside volatility in of 5.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (3.5%).

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.'

• Looking at the Sharpe Ratio of 0.52 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.43)
• Compared with AGG (0.54) in the period of the last 3 years, the Sharpe Ratio of 1.3 is greater, 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.'

• Looking at the ratio of annual return and downside deviation of 0.73 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.61)
• Looking at downside risk / excess return profile in of 1.86 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (0.8).

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.'

• Compared with the benchmark AGG (8.56 ) in the period of the last 5 years, the Ulcer Ratio of 4.58 of BUG Permanent Portfolio Strategy is lower, thus better.
• Looking at Downside risk index in of 1.75 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (1.83 ).

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 larger, thus better compared to the benchmark AGG (-17.3 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -6.7 days, which is smaller, thus worse than the value of -4.8 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) in days.'

• Looking at the maximum time in days below previous high water mark of 545 days in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively smaller, thus better in comparison to the benchmark AGG (1067 days)
• During the last 3 years, the maximum days under water is 100 days, which is lower, thus better than the value of 195 days from the benchmark.

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 (470 days) in the period of the last 5 years, the average time in days below previous high water mark of 146 days of BUG Permanent Portfolio Strategy is smaller, thus better.
• Compared with AGG (60 days) in the period of the last 3 years, the average days below previous high of 25 days is lower, thus better.