Maximum Yield 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 Maximum Yield Strategy is 168.3%, which is greater, thus better compared to the benchmark SPY (105.3%) in the same period.
• Looking at total return, or performance in of 160.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (85.6%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the annual performance (CAGR) of 21.9% of Maximum Yield Strategy is larger, thus better.
• Compared with SPY (23%) in the period of the last 3 years, the annual return (CAGR) of 37.8% is greater, thus better.

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.'

• Looking at the historical 30 days volatility of 25.3% in the last 5 years of Maximum Yield Strategy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.1%)
• Compared with SPY (16%) in the period of the last 3 years, the 30 days standard deviation of 26.7% is larger, 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.'

• The downside deviation over 5 years of Maximum Yield Strategy is 18.3%, which is higher, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Compared with SPY (10.5%) in the period of the last 3 years, the downside risk of 19.2% is higher, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the risk / return profile (Sharpe) of 0.77 in the last 5 years of Maximum Yield Strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.76)
• Looking at Sharpe Ratio in of 1.32 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.28).

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.'

• Compared with the benchmark SPY (1.11) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.06 of Maximum Yield Strategy is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is 1.84, which is lower, thus worse than the value of 1.96 from the benchmark.

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.'

• The Ulcer Index over 5 years of Maximum Yield Strategy is 7.36 , which is lower, thus better compared to the benchmark SPY (8.42 ) in the same period.
• Compared with SPY (3.61 ) in the period of the last 3 years, the Downside risk index of 5.71 is greater, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum drop from peak to valley of -23.5 days in the last 5 years of Maximum Yield Strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -19.8 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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 213 days in the last 5 years of Maximum Yield Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 85 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (87 days).

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 below previous high over 5 years of Maximum Yield Strategy is 43 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Compared with SPY (21 days) in the period of the last 3 years, the average days under water of 19 days is lower, thus better.