Leveraged Universal Investment Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (32.9%) in the period of the last 5 years, the total return of 179.4% of Leveraged Universal Investment Strategy is higher, thus better.
• Compared with SPY (11.6%) in the period of the last 3 years, the total return of 105.3% is higher, thus better.

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.'

• Looking at the annual return (CAGR) of 22.8% in the last 5 years of Leveraged Universal Investment Strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (5.8%)
• During the last 3 years, the annual return (CAGR) is 27.1%, which is higher, thus better than the value of 3.7% from the benchmark.

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.'

• Looking at the volatility of 24.6% in the last 5 years of Leveraged Universal Investment Strategy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18%)
• Looking at 30 days standard deviation in of 26.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20.3%).

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 volatility over 5 years of Leveraged Universal Investment Strategy is 18%, which is larger, thus worse compared to the benchmark SPY (13.4%) in the same period.
• Looking at downside risk in of 19.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.3%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The risk / return profile (Sharpe) over 5 years of Leveraged Universal Investment Strategy is 0.83, which is higher, thus better compared to the benchmark SPY (0.19) in the same period.
• Compared with SPY (0.06) in the period of the last 3 years, the Sharpe Ratio of 0.93 is larger, thus better.

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.'

• Looking at the ratio of annual return and downside deviation of 1.13 in the last 5 years of Leveraged Universal Investment Strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.25)
• Looking at ratio of annual return and downside deviation in of 1.25 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.08).

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.'

• Compared with the benchmark SPY (5.17 ) in the period of the last 5 years, the Ulcer Ratio of 9.92 of Leveraged Universal Investment Strategy is greater, thus worse.
• During the last 3 years, the Downside risk index is 8.98 , which is greater, thus worse than the value of 5.93 from the benchmark.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -42.7 days of Leveraged Universal Investment Strategy is lower, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -42.7 days is lower, 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.'

• Looking at the maximum time in days below previous high water mark of 265 days in the last 5 years of Leveraged Universal Investment Strategy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum time in days below previous high water mark is 265 days, which is greater, thus worse than the value of 139 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.'

• The average time in days below previous high water mark over 5 years of Leveraged Universal Investment Strategy is 64 days, which is higher, thus worse compared to the benchmark SPY (42 days) in the same period.
• Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 61 days is higher, thus worse.