US Market Strategy 2x 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, or increase in value over 5 years of US Market Strategy 2x Leverage is 80.2%, which is lower, thus worse compared to the benchmark SPY (83.7%) in the same period.
• During the last 3 years, the total return is 59.4%, which is lower, thus worse than the value of 74.4% from the benchmark.

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 (13%) in the period of the last 5 years, the annual return (CAGR) of 12.6% of US Market Strategy 2x Leverage is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 16.9%, which is smaller, thus worse than the value of 20.5% 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.'

• Looking at the historical 30 days volatility of 18.2% in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.2%)
• During the last 3 years, the historical 30 days volatility is 17.7%, which is higher, thus worse than the value of 15.3% from the benchmark.

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.'

• Looking at the downside deviation of 12.7% in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively higher, thus worse in comparison to the benchmark SPY (11.8%)
• Compared with SPY (10.3%) in the period of the last 3 years, the downside risk of 12.3% 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.'

• Compared with the benchmark SPY (0.61) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.55 of US Market Strategy 2x Leverage is lower, thus worse.
• Compared with SPY (1.18) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.81 is lower, thus worse.

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 US Market Strategy 2x Leverage is 0.79, which is lower, thus worse compared to the benchmark SPY (0.89) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.17, which is lower, thus worse than the value of 1.75 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Ratio over 5 years of US Market Strategy 2x Leverage is 9.02 , which is higher, thus worse compared to the benchmark SPY (8.46 ) in the same period.
• Looking at Downside risk index in of 6.1 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.52 ).

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 SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -27.8 days of US Market Strategy 2x Leverage is smaller, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -19.9 days is smaller, thus worse.

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 SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 392 days of US Market Strategy 2x Leverage is lower, thus better.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 192 days is higher, thus worse.

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 SPY (119 days) in the period of the last 5 years, the average days below previous high of 97 days of US Market Strategy 2x Leverage is smaller, thus better.
• Compared with SPY (20 days) in the period of the last 3 years, the average days below previous high of 50 days is greater, thus worse.