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.'

• The total return over 5 years of Universal Investment Strategy is 53.4%, which is lower, thus worse compared to the benchmark SPY (67.8%) in the same period.
• Looking at total return, or increase in value in of 58% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (75%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual return (CAGR) of 9% of Universal Investment Strategy is lower, thus worse.
• Looking at annual performance (CAGR) in of 16.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (20.6%).

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.'

• Compared with the benchmark SPY (17.3%) in the period of the last 5 years, the historical 30 days volatility of 8.9% of Universal Investment Strategy is lower, thus better.
• Looking at historical 30 days volatility in of 8.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.4%).

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.'

• The downside risk over 5 years of Universal Investment Strategy is 6.2%, which is smaller, thus better compared to the benchmark SPY (12%) in the same period.
• Looking at downside deviation in of 6.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10.4%).

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 risk / return profile (Sharpe) over 5 years of Universal Investment Strategy is 0.73, which is larger, thus better compared to the benchmark SPY (0.49) in the same period.
• Compared with SPY (1.17) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.57 is higher, 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.'

• Compared with the benchmark SPY (0.7) in the period of the last 5 years, the downside risk / excess return profile of 1.05 of Universal Investment Strategy is higher, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 2.31, which is greater, thus better than the value of 1.73 from the benchmark.

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 Downside risk index of 4.39 in the last 5 years of Universal Investment Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.45 )
• Looking at Downside risk index in of 1.56 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (3.21 ).

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 -12.2 days of Universal Investment Strategy is higher, thus better.
• Looking at maximum DrawDown in of -7.5 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 days).

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 days under water of 489 days in the last 5 years of Universal Investment Strategy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 73 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (87 days).

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 days under water over 5 years of Universal Investment Strategy is 119 days, which is larger, thus worse compared to the benchmark SPY (117 days) in the same period.
• Compared with SPY (17 days) in the period of the last 3 years, the average days below previous high of 15 days is smaller, thus better.