Long Term Currency Program

Annualized Compound ROR
The annual average return that assumes the same rate of return every annual period to arrive at the equivalent compound growth rate reflected in the actual return data.

Standard Deviation
The degree of variation of the monthly returns around the mean (average) monthly return, annualized.

Gain Deviation
The degree of variation of the monthly returns that are greater than or equal to zero around mean (average) monthly return for all months with a return equal to or greater than zero, annualized.

Loss Deviation
The degree of variation of the monthly returns that are less than zero around mean (average) monthly return for all months with a return less than zero, annualized.

Sharpe Ratio
The actual rate of return above or below a Risk Free Rate, per unit of risk taken to achieve that return. The Sharpe Ratio is calculated by subtracting the Risk Free Rate from the (annualized) return of the portfolio and then dividing by the (annualized) standard deviation. The Risk Free Rate used is the (annualized) 3 Month T-Bill Rate times a factor that is based on the level of funding relative to the AUM.

Sortino Ratio
The actual rate of return above or below a Risk Free Rate, per unit of downside risk taken to achieve that return. The Sortino Ratio is calculated by subtracting the Risk Free Rate from the (annualized) return of the portfolio and then dividing by the (annualized) loss deviation. The Risk Free Rate used is the (annualized) 3 Month T-Bill Rate times a factor that is based on the level of funding relative to the AUM.

Monthly Compound ROR
The monthly (geometric average) return that assumes the same rate of return every monthly period to arrive at the equivalent compound growth rate reflected in the actual return data.

Average Gain
The sum of all monthly returns life to date that are equal to or greater than zero, divided by the number of months that had a return equal to or greater than zero.

Average Loss
The sum of all monthly returns life to date that are less than zero, divided by the number of months that had a return less than zero.

Skewness
The degree of asymmetry of a distribution around its mean. Positive skewness indicates a distribution with an asymmetric tail extending toward more positive values. Negative skewness indicates a distribution with an asymmetric tail extending toward more negative values.

The positive skewness of this Program indicates that extreme deviations from the mean have been more to the upside, as can be seen in the Distribution of Returns chart at left.

Kurtosis
The relative peakedness or flatness of a distribution compared with the normal distribution. Positive kurtosis indicates a relatively peaked distribution. Negative kurtosis indicates a relatively flat distribution.

The high kurtosis of this Program indicates that extreme deviations from the mean have been infrequent, as can be seen in the Distribution of Returns chart at left.

Calmar Ratio
Measures return vs. drawdown risk. The Calmar Ratio is calculated by taking the Compound Annualized Rate of Return divided by the Maximum Drawdown.

Max Drawdown
The largest percentage retrenchment from an equity peak to an equity valley (drawdown) over the life of the investment program.

Information Ratio
The active return divided by tracking error. Active return is the amount of performance over or under a given benchmark index. Tracking error is the standard deviation of the active return.

Calmar Ratio
Measures return vs. drawdown risk. The Calmar Ratio is calculated by taking a fund's Compound Annualized Rate of Return (for most recent 36 months) divided by the fund's Maximum Drawdown (for most recent 36 months).

Max Drawdown
The largest percentage retrenchment from an equity peak to an equity valley (drawdown) over the most recent 36 months of the investment program.