Universal Investment Strategy 2x Leverage

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 performance of 72.9% in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (108.2%)
• Compared with SPY (28.3%) in the period of the last 3 years, the total return, or increase in value of 29.5% 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 annual performance (CAGR) of 11.6% in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.8%)
• During the last 3 years, the annual performance (CAGR) is 9%, which is larger, thus better than the value of 8.7% 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.'

• The volatility over 5 years of Universal Investment Strategy 2x Leverage is 16.9%, which is lower, thus better compared to the benchmark SPY (18%) in the same period.
• During the last 3 years, the volatility is 17.2%, which is lower, thus better than the value of 18.8% from the benchmark.

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.'

• Looking at the downside deviation of 12.1% in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively smaller, thus better in comparison to the benchmark SPY (12.6%)
• Compared with SPY (13%) in the period of the last 3 years, the downside risk of 12% is lower, thus better.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of 0.54 in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.74)
• Looking at Sharpe Ratio in of 0.38 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.33).

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 (1.06) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.75 of Universal Investment Strategy 2x Leverage is lower, thus worse.
• Compared with SPY (0.48) in the period of the last 3 years, the excess return divided by the downside deviation of 0.54 is greater, thus better.

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 (8.39 ) in the period of the last 5 years, the Ulcer Index of 12 of Universal Investment Strategy 2x Leverage is greater, thus worse.
• Compared with SPY (7.05 ) in the period of the last 3 years, the Ulcer Index of 12 is higher, thus worse.

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.'

• Looking at the maximum reduction from previous high of -30.4 days in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-19.2 days) in the period of the last 3 years, the maximum drop from peak to valley of -26.6 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.'

• 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 523 days of Universal Investment Strategy 2x Leverage is greater, thus worse.
• Looking at maximum days below previous high in of 482 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (290 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.'

• Looking at the average time in days below previous high water mark of 135 days in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively higher, thus worse in comparison to the benchmark SPY (118 days)
• Compared with SPY (74 days) in the period of the last 3 years, the average days below previous high of 169 days is higher, thus worse.