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, or performance over 5 years of Universal Investment Strategy 3x Leverage is 183.4%, which is larger, thus better compared to the benchmark SPY (106.7%) in the same period.
• During the last 3 years, the total return is 35%, which is higher, thus better than the value of 32.3% 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.'

• The compounded annual growth rate (CAGR) over 5 years of Universal Investment Strategy 3x Leverage is 23.2%, which is greater, thus better compared to the benchmark SPY (15.7%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 10.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (9.8%).

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.'

• The historical 30 days volatility over 5 years of Universal Investment Strategy 3x Leverage is 27.3%, which is larger, thus worse compared to the benchmark SPY (20.9%) in the same period.
• During the last 3 years, the volatility is 25.2%, which is higher, thus worse than the value of 17.6% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (14.9%) in the period of the last 5 years, the downside risk of 19.2% of Universal Investment Strategy 3x Leverage is greater, thus worse.
• Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 17.5% is larger, 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.'

• Looking at the risk / return profile (Sharpe) of 0.76 in the last 5 years of Universal Investment Strategy 3x Leverage, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.63)
• Looking at Sharpe Ratio in of 0.32 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

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 (0.88) in the period of the last 5 years, the excess return divided by the downside deviation of 1.08 of Universal Investment Strategy 3x Leverage is higher, thus better.
• Compared with SPY (0.59) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.46 is smaller, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Index over 5 years of Universal Investment Strategy 3x Leverage is 16 , which is greater, thus worse compared to the benchmark SPY (9.32 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 20 , which is greater, thus worse than the value of 10 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.'

• Looking at the maximum DrawDown 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 (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -38.4 days, which is lower, thus worse than the value of -24.5 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.'

• 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 greater, thus worse.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 525 days is greater, 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 (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 139 days of Universal Investment Strategy 3x Leverage is larger, thus worse.
• During the last 3 years, the average days under water is 195 days, which is higher, thus worse than the value of 177 days from the benchmark.