Universal Investment 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.'

• Looking at the total return, or performance of 75.4% in the last 5 years of Universal Investment Strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (110.9%)
• Compared with SPY (69.3%) in the period of the last 3 years, the total return, or performance of 45.3% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual performance (CAGR) of 11.9% in the last 5 years of Universal Investment Strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16.1%)
• Compared with SPY (19.3%) in the period of the last 3 years, the annual performance (CAGR) of 13.3% is smaller, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The volatility over 5 years of Universal Investment Strategy is 8.8%, which is lower, thus better compared to the benchmark SPY (17.5%) in the same period.
• Compared with SPY (17.5%) in the period of the last 3 years, the 30 days standard deviation of 8.5% is lower, thus better.

DownVol:

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

• The downside deviation over 5 years of Universal Investment Strategy is 6.1%, which is lower, thus better compared to the benchmark SPY (12.1%) in the same period.
• Compared with SPY (11.5%) in the period of the last 3 years, the downside risk of 5.6% is smaller, thus better.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 1.07 in the last 5 years of Universal Investment Strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.78)
• Compared with SPY (0.96) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.27 is greater, 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.'

• Compared with the benchmark SPY (1.13) in the period of the last 5 years, the excess return divided by the downside deviation of 1.56 of Universal Investment Strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.93, which is higher, thus better than the value of 1.46 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 Index over 5 years of Universal Investment Strategy is 4.35 , which is lower, thus better compared to the benchmark SPY (8.48 ) in the same period.
• Compared with SPY (5.3 ) in the period of the last 3 years, the Ulcer Ratio of 2.13 is lower, thus better.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum drop from peak to valley over 5 years of Universal Investment Strategy is -12.2 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -7.5 days is greater, thus better.

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.'

• The maximum days below previous high over 5 years of Universal Investment Strategy is 489 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 115 days, which is lower, thus better than the value of 199 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 121 days in the last 5 years of Universal Investment Strategy, we see it is relatively larger, thus worse 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.