Universal Investment Strategy 3x 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 133.7% in the last 5 years of Universal Investment Strategy 3x Leverage, we see it is relatively larger, thus better in comparison to the benchmark SPY (108.2%)
• Looking at total return, or increase in value in of 49% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (28.3%).

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.'

• Compared with the benchmark SPY (15.8%) in the period of the last 5 years, the annual performance (CAGR) of 18.6% of Universal Investment Strategy 3x Leverage is higher, thus better.
• During the last 3 years, the annual return (CAGR) is 14.3%, which is greater, thus better than the value of 8.7% from the benchmark.

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 3x Leverage is 24.9%, which is greater, thus worse compared to the benchmark SPY (18%) in the same period.
• During the last 3 years, the 30 days standard deviation is 25.5%, which is greater, thus worse than the value of 18.8% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (12.6%) in the period of the last 5 years, the downside deviation of 17.8% of Universal Investment Strategy 3x Leverage is higher, thus worse.
• Compared with SPY (13%) in the period of the last 3 years, the downside risk of 17.6% is higher, thus worse.

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.'

• Looking at the risk / return profile (Sharpe) of 0.64 in the last 5 years of Universal Investment Strategy 3x Leverage, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.74)
• Compared with SPY (0.33) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.46 is higher, 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.'

• The ratio of annual return and downside deviation over 5 years of Universal Investment Strategy 3x Leverage is 0.9, which is smaller, thus worse compared to the benchmark SPY (1.06) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.67, which is greater, thus better than the value of 0.48 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.'

• The Downside risk index over 5 years of Universal Investment Strategy 3x Leverage is 16 , which is larger, thus worse compared to the benchmark SPY (8.39 ) in the same period.
• Looking at Downside risk index in of 16 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (7.05 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -38.4 days of Universal Investment Strategy 3x Leverage is lower, thus worse.
• Looking at maximum drop from peak to valley in of -34.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.2 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.'

• 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 525 days of Universal Investment Strategy 3x Leverage is greater, thus worse.
• Looking at maximum time in days below previous high water mark in of 483 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 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 (118 days) in the period of the last 5 years, the average days under water of 137 days of Universal Investment Strategy 3x Leverage is larger, thus worse.
• Looking at average days below previous high in of 169 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (74 days).