BUG Permanent Portfolio Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark AGG (-0.1%) in the period of the last 5 years, the total return, or increase in value of 60.2% of BUG Permanent Portfolio Strategy is greater, thus better.
• Looking at total return, or increase in value in of 8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-10.2%).

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%) in the period of the last 5 years, the annual return (CAGR) of 9.9% of BUG Permanent Portfolio Strategy is higher, thus better.
• Looking at compounded annual growth rate (CAGR) in of 2.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-3.5%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The 30 days standard deviation over 5 years of BUG Permanent Portfolio Strategy is 8.6%, which is larger, thus worse compared to the benchmark AGG (6.7%) in the same period.
• Compared with AGG (6.8%) in the period of the last 3 years, the volatility of 6.2% 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 (4.9%) in the period of the last 5 years, the downside risk of 6.4% of BUG Permanent Portfolio Strategy is greater, thus worse.
• During the last 3 years, the downside volatility is 4.4%, which is lower, thus better than the value of 4.9% 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.'

• Compared with the benchmark AGG (-0.38) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.86 of BUG Permanent Portfolio Strategy is higher, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.02, which is higher, thus better than the value of -0.89 from the benchmark.

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 excess return divided by the downside deviation of 1.15 in the last 5 years of BUG Permanent Portfolio Strategy, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.51)
• During the last 3 years, the excess return divided by the downside deviation is 0.02, which is higher, thus better than the value of -1.24 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 4.91 , which is lower, thus better compared to the benchmark AGG (8.6 ) in the same period.
• Looking at Ulcer Ratio in of 5.66 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (10 ).

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 AGG (-18.4 days) in the period of the last 5 years, the maximum reduction from previous high of -19.3 days of BUG Permanent Portfolio Strategy is lower, thus worse.
• Compared with AGG (-17.8 days) in the period of the last 3 years, the maximum DrawDown of -11 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.'

• Looking at the maximum days under water 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 (934 days)
• During the last 3 years, the maximum days below previous high is 545 days, which is lower, thus better than the value of 683 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 AGG (375 days) in the period of the last 5 years, the average days below previous high of 148 days of BUG Permanent Portfolio Strategy is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 216 days, which is smaller, thus better than the value of 317 days from the benchmark.