Universal Investment Strategy 3x Leverage

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.'

• Compared with the benchmark SPY (87.1%) in the period of the last 5 years, the total return, or increase in value of 144.2% of Universal Investment Strategy 3x Leverage is greater, thus better.
• Compared with SPY (82.9%) in the period of the last 3 years, the total return of 208.6% is greater, thus better.

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.'

• The annual return (CAGR) over 5 years of Universal Investment Strategy 3x Leverage is 19.7%, which is greater, thus better compared to the benchmark SPY (13.4%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 45.9%, which is higher, thus better than the value of 22.4% 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 30 days standard deviation over 5 years of Universal Investment Strategy 3x Leverage is 26.7%, which is greater, thus worse compared to the benchmark SPY (17.2%) in the same period.
• Looking at volatility in of 28% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.4%).

DownVol:

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

• The downside volatility over 5 years of Universal Investment Strategy 3x Leverage is 18.8%, which is higher, thus worse compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside deviation is 19.4%, which is greater, thus worse than the value of 10.3% from the benchmark.

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 risk / return profile (Sharpe) of 0.64 in the last 5 years of Universal Investment Strategy 3x Leverage, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.63)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.55, which is larger, thus better than the value of 1.3 from the benchmark.

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.'

• Looking at the downside risk / excess return profile of 0.91 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 (0.92)
• Looking at excess return divided by the downside deviation in of 2.23 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.94).

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.'

• The Downside risk index over 5 years of Universal Investment Strategy 3x Leverage is 16 , which is higher, thus worse compared to the benchmark SPY (8.46 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 8.42 , which is larger, thus worse than the value of 3.37 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.'

• The maximum DrawDown over 5 years of Universal Investment Strategy 3x Leverage is -38.4 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -29.3 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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 525 days in the last 5 years of Universal Investment Strategy 3x Leverage, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 139 days, which is greater, thus worse than the value of 87 days from the benchmark.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 135 days of Universal Investment Strategy 3x Leverage is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 26 days, which is higher, thus worse than the value of 18 days from the benchmark.