Universal Investment Strategy 2x 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 2x Leverage is 89.8%, which is lower, thus worse compared to the benchmark SPY (95.4%) in the same period.
• Looking at total return, or increase in value in of 30% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (46.9%).

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 (14.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 13.7% of Universal Investment Strategy 2x Leverage is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is 9.2%, which is smaller, thus worse than the value of 13.7% 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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the 30 days standard deviation of 18.7% of Universal Investment Strategy 2x Leverage is lower, thus better.
• During the last 3 years, the volatility is 17%, which is lower, thus better than the value of 17.2% 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.'

• Looking at the downside risk of 13.3% in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively lower, thus better in comparison to the benchmark SPY (15%)
• Looking at downside deviation in of 11.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (11.9%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Universal Investment Strategy 2x Leverage is 0.6, which is greater, thus better compared to the benchmark SPY (0.57) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.39 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.66).

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.'

• The ratio of annual return and downside deviation over 5 years of Universal Investment Strategy 2x Leverage is 0.85, which is higher, thus better compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (0.94) in the period of the last 3 years, the downside risk / excess return profile of 0.56 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.'

• Looking at the Ulcer Index of 12 in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.29 )
• During the last 3 years, the Ulcer Index is 15 , which is higher, thus worse than the value of 8.57 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 (-33.4 days) in the period of the last 5 years, the maximum reduction from previous high of -30.4 days of Universal Investment Strategy 2x Leverage is greater, thus better.
• Looking at maximum reduction from previous high in of -30.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-22.1 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 523 days in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (325 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 523 days is larger, 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.'

• The average time in days below previous high water mark over 5 years of Universal Investment Strategy 2x Leverage is 136 days, which is larger, thus worse compared to the benchmark SPY (121 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 196 days, which is higher, thus worse than the value of 90 days from the benchmark.