Maximum Yield Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or increase in value of 148.1% in the last 5 years of Maximum Yield Strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (112.4%)
• Compared with SPY (66.5%) in the period of the last 3 years, the total return of 108.8% is greater, 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 compounded annual growth rate (CAGR) of 20% in the last 5 years of Maximum Yield Strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (16.3%)
• During the last 3 years, the annual performance (CAGR) is 28%, which is larger, thus better than the value of 18.7% 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 volatility of 25.4% in the last 5 years of Maximum Yield Strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.5%)
• Compared with SPY (17.5%) in the period of the last 3 years, the 30 days standard deviation of 26.6% is larger, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the downside deviation of 18.5% of Maximum Yield Strategy is larger, thus worse.
• Compared with SPY (11.6%) in the period of the last 3 years, the downside volatility of 19.1% 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 Maximum Yield Strategy is 0.69, which is smaller, thus worse compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (0.92) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.96 is larger, thus better.

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.'

• Looking at the excess return divided by the downside deviation of 0.95 in the last 5 years of Maximum Yield Strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.14)
• Compared with SPY (1.4) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.34 is lower, thus worse.

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.'

• Looking at the Ulcer Index of 8.33 in the last 5 years of Maximum Yield Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.48 )
• During the last 3 years, the Ulcer Index is 7.48 , which is greater, thus worse than the value of 5.31 from the benchmark.

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 drop from peak to valley of -23.5 days of Maximum Yield Strategy is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -23.5 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum time in days below previous high water mark of 331 days in the last 5 years of Maximum Yield Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 126 days is lower, thus better.

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.'

• Looking at the average time in days below previous high water mark of 70 days in the last 5 years of Maximum Yield Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (120 days)
• During the last 3 years, the average days under water is 29 days, which is lower, thus better than the value of 47 days from the benchmark.