Universal Investment Strategy 3x Leverage

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 Universal Investment Strategy 3x Leverage is 164.1%, which is greater, thus better compared to the benchmark SPY (82.8%) in the same period.
• During the last 3 years, the total return, or performance is 206.2%, which is greater, thus better than the value of 75.4% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (12.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 21.5% of Universal Investment Strategy 3x Leverage is larger, thus better.
• Looking at annual return (CAGR) in of 45.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (20.7%).

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 SPY (17.1%) in the period of the last 5 years, the volatility of 26.6% of Universal Investment Strategy 3x Leverage is larger, thus worse.
• Compared with SPY (15.3%) in the period of the last 3 years, the historical 30 days volatility of 27.8% is greater, thus worse.

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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 18.7% of Universal Investment Strategy 3x Leverage is larger, thus worse.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside volatility of 19.3% is higher, thus worse.

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 ratio of return and volatility (Sharpe) over 5 years of Universal Investment Strategy 3x Leverage is 0.71, which is larger, thus better compared to the benchmark SPY (0.61) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.54, which is larger, thus better than the value of 1.19 from the benchmark.

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 ratio of annual return and downside deviation over 5 years of Universal Investment Strategy 3x Leverage is 1.02, which is higher, thus better compared to the benchmark SPY (0.88) in the same period.
• Looking at ratio of annual return and downside deviation in of 2.23 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.77).

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 SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 16 of Universal Investment Strategy 3x Leverage is larger, thus worse.
• Compared with SPY (3.52 ) in the period of the last 3 years, the Ulcer Ratio of 7.57 is larger, thus worse.

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.'

• Looking at the maximum reduction from previous high of -38.4 days in the last 5 years of Universal Investment Strategy 3x Leverage, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -29.3 days is smaller, thus worse.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 525 days of Universal Investment Strategy 3x Leverage is larger, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 102 days is higher, thus worse.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 132 days of Universal Investment Strategy 3x Leverage is greater, thus worse.
• Looking at average days under water in of 24 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20 days).