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, or performance over 5 years of Leveraged Gold-Currency Strategy is 119.2%, which is larger, thus better compared to the benchmark GLD (112.2%) in the same period.
• During the last 3 years, the total return is 62.9%, which is lower, thus worse than the value of 128% from the benchmark.

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 GLD (16.3%) in the period of the last 5 years, the annual return (CAGR) of 17% of Leveraged Gold-Currency Strategy is larger, thus better.
• Looking at annual return (CAGR) in of 17.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (31.8%).

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.'

• Compared with the benchmark GLD (15.5%) in the period of the last 5 years, the 30 days standard deviation of 12.2% of Leveraged Gold-Currency Strategy is lower, thus better.
• Compared with GLD (16.2%) in the period of the last 3 years, the volatility of 12.3% 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 Leveraged Gold-Currency Strategy is 8.4%, which is smaller, thus better compared to the benchmark GLD (10.6%) in the same period.
• During the last 3 years, the downside volatility is 8.4%, which is smaller, thus better than the value of 10.7% 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.'

• Compared with the benchmark GLD (0.89) in the period of the last 5 years, the Sharpe Ratio of 1.19 of Leveraged Gold-Currency Strategy is greater, thus better.
• During the last 3 years, the Sharpe Ratio is 1.24, which is lower, thus worse than the value of 1.81 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of Leveraged Gold-Currency Strategy is 1.73, which is larger, thus better compared to the benchmark GLD (1.3) in the same period.
• Compared with GLD (2.73) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.81 is smaller, thus worse.

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.'

• Looking at the Downside risk index of 5.3 in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively lower, thus better in comparison to the benchmark GLD (7.64 )
• Looking at Ulcer Ratio in of 4.39 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (3.73 ).

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 DrawDown of -15.2 days in the last 5 years of Leveraged Gold-Currency Strategy, we see it is relatively higher, thus better in comparison to the benchmark GLD (-21 days)
• Looking at maximum drop from peak to valley in of -12 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to GLD (-11.3 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'

• Compared with the benchmark GLD (436 days) in the period of the last 5 years, the maximum days below previous high of 456 days of Leveraged Gold-Currency Strategy is greater, thus worse.
• During the last 3 years, the maximum days under water is 234 days, which is larger, thus worse than the value of 145 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.'

• The average days under water over 5 years of Leveraged Gold-Currency Strategy is 106 days, which is lower, thus better compared to the benchmark GLD (125 days) in the same period.
• Looking at average time in days below previous high water mark in of 59 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to GLD (28 days).