Leveraged Gold-Currency 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 over 5 years of Leveraged Gold-Currency Strategy is 95.5%, which is larger, thus better compared to the benchmark GLD (70.1%) in the same period.
• Looking at total return, or increase in value in of 50.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (46.9%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The compounded annual growth rate (CAGR) over 5 years of Leveraged Gold-Currency Strategy is 14.4%, which is greater, thus better compared to the benchmark GLD (11.2%) in the same period.
• Looking at annual performance (CAGR) in of 14.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to GLD (13.7%).

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 Leveraged Gold-Currency Strategy is 11.4%, which is lower, thus better compared to the benchmark GLD (15.5%) in the same period.
• Compared with GLD (14.6%) in the period of the last 3 years, the 30 days standard deviation of 11.3% is lower, thus better.

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.'

• Looking at the downside deviation of 7.8% in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively smaller, thus better in comparison to the benchmark GLD (11%)
• During the last 3 years, the downside volatility is 7.8%, which is smaller, thus better than the value of 9.9% from the benchmark.

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 Sharpe Ratio over 5 years of Leveraged Gold-Currency Strategy is 1.05, which is greater, thus better compared to the benchmark GLD (0.56) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.08 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to GLD (0.77).

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.'

• The excess return divided by the downside deviation over 5 years of Leveraged Gold-Currency Strategy is 1.51, which is greater, thus better compared to the benchmark GLD (0.8) in the same period.
• Compared with GLD (1.14) in the period of the last 3 years, the downside risk / excess return profile of 1.56 is higher, 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 GLD (9.79 ) in the period of the last 5 years, the Ulcer Ratio of 5.97 of Leveraged Gold-Currency Strategy is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 6.52 , which is smaller, thus better than the value of 8.29 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum drop from peak to valley of -15.2 days in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively greater, thus better in comparison to the benchmark GLD (-22 days)
• During the last 3 years, the maximum DrawDown is -15.2 days, which is higher, thus better than the value of -21 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). 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'

• The maximum days under water over 5 years of Leveraged Gold-Currency Strategy is 471 days, which is lower, thus better compared to the benchmark GLD (897 days) in the same period.
• During the last 3 years, the maximum days under water is 471 days, which is higher, thus worse than the value of 436 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 Leveraged Gold-Currency Strategy is 140 days, which is lower, thus better compared to the benchmark GLD (346 days) in the same period.
• During the last 3 years, the average days below previous high is 167 days, which is greater, thus worse than the value of 142 days from the benchmark.