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.'

• Looking at the total return of 116.7% 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 (154.3%)
• Looking at total return in of 29.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (32.9%).

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.'

• Compared with the benchmark SPY (20.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 16.8% of Universal Investment Strategy 2x Leverage is smaller, thus worse.
• Compared with SPY (10%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 9.1% is lower, thus worse.

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.'

• The volatility over 5 years of Universal Investment Strategy 2x Leverage is 17.5%, which is smaller, thus better compared to the benchmark SPY (18.4%) in the same period.
• During the last 3 years, the volatility is 16.9%, which is smaller, thus better than the value of 17% from the benchmark.

DownVol:

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

• Looking at the downside volatility 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 (12.4%)
• Looking at downside risk in of 11.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12%).

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.'

• Compared with the benchmark SPY (0.99) in the period of the last 5 years, the Sharpe Ratio of 0.82 of Universal Investment Strategy 2x Leverage is lower, thus worse.
• Compared with SPY (0.44) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.39 is lower, thus worse.

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.'

• The ratio of annual return and downside deviation over 5 years of Universal Investment Strategy 2x Leverage is 1.18, which is lower, thus worse compared to the benchmark SPY (1.46) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.56, which is lower, thus worse than the value of 0.62 from the benchmark.

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.'

• Compared with the benchmark SPY (8.29 ) in the period of the last 5 years, the Downside risk index of 12 of Universal Investment Strategy 2x Leverage is larger, thus worse.
• Looking at Ulcer Ratio in of 12 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (8.63 ).

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)
• Looking at maximum reduction from previous high in of -26.8 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) in days.'

• 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 greater, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 484 days, which is greater, thus worse than the value of 325 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 136 days of Universal Investment Strategy 2x Leverage is larger, thus worse.
• Compared with SPY (89 days) in the period of the last 3 years, the average days below previous high of 170 days is larger, thus worse.