Gold-Currency Strategy II

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 Gold-Currency Strategy II is 45.6%, which is lower, thus worse compared to the benchmark GLD (77.6%) in the same period.
• During the last 3 years, the total return, or increase in value is 5.4%, which is lower, thus worse than the value of 29.1% 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 (12.2%) in the period of the last 5 years, the annual performance (CAGR) of 7.8% of Gold-Currency Strategy II is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 1.8%, which is lower, thus worse than the value of 8.9% 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 Gold-Currency Strategy II is 9.3%, which is lower, thus better compared to the benchmark GLD (15.1%) in the same period.
• Compared with GLD (13.8%) in the period of the last 3 years, the 30 days standard deviation of 6.9% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Gold-Currency Strategy II is 6.9%, which is smaller, thus better compared to the benchmark GLD (10.6%) in the same period.
• Compared with GLD (9.5%) in the period of the last 3 years, the downside risk of 5.1% 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.'

• Looking at the risk / return profile (Sharpe) of 0.57 in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (0.64)
• Looking at Sharpe Ratio in of -0.1 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (0.46).

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 0.77 in the last 5 years of Gold-Currency Strategy II, we see it is relatively lower, thus worse in comparison to the benchmark GLD (0.92)
• Looking at downside risk / excess return profile in of -0.14 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to GLD (0.67).

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 Downside risk index over 5 years of Gold-Currency Strategy II is 7.17 , which is smaller, thus better compared to the benchmark GLD (9.77 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 7.91 , which is smaller, thus better than the value of 8.63 from the benchmark.

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.'

• Compared with the benchmark GLD (-22 days) in the period of the last 5 years, the maximum reduction from previous high of -13.8 days of Gold-Currency Strategy II is greater, thus better.
• Looking at maximum reduction from previous high in of -13.8 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to GLD (-21 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark GLD (897 days) in the period of the last 5 years, the maximum days under water of 540 days of Gold-Currency Strategy II is smaller, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 540 days, which is greater, 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.'

• Compared with the benchmark GLD (349 days) in the period of the last 5 years, the average time in days below previous high water mark of 196 days of Gold-Currency Strategy II is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 210 days, which is higher, thus worse than the value of 159 days from the benchmark.