Universal Investment Strategy 3x 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 3x Leverage is 202.4%, which is greater, thus better compared to the benchmark SPY (106.8%) in the same period.
• During the last 3 years, the total return, or increase in value is 92.1%, which is higher, thus better than the value of 71.9% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of Universal Investment Strategy 3x Leverage is 24.8%, which is higher, thus better compared to the benchmark SPY (15.7%) in the same period.
• Compared with SPY (19.8%) in the period of the last 3 years, the annual return (CAGR) of 24.3% is larger, thus better.

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 26.6%, which is greater, thus worse compared to the benchmark SPY (18.9%) in the same period.
• Looking at historical 30 days volatility in of 31.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21.9%).

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.'

• The downside deviation over 5 years of Universal Investment Strategy 3x Leverage is 19.2%, which is greater, thus worse compared to the benchmark SPY (13.8%) in the same period.
• Compared with SPY (15.9%) in the period of the last 3 years, the downside deviation of 22.6% is greater, thus worse.

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 (0.69) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.84 of Universal Investment Strategy 3x Leverage is greater, thus better.
• Compared with SPY (0.79) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.7 is smaller, 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 3x Leverage is 1.16, which is greater, thus better compared to the benchmark SPY (0.95) in the same period.
• Compared with SPY (1.09) in the period of the last 3 years, the excess return divided by the downside deviation of 0.96 is lower, 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.'

• The Downside risk index over 5 years of Universal Investment Strategy 3x Leverage is 14 , which is higher, thus worse compared to the benchmark SPY (5.61 ) in the same period.
• Compared with SPY (6.08 ) in the period of the last 3 years, the Ulcer Index of 17 is larger, 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.'

• The maximum reduction from previous high over 5 years of Universal Investment Strategy 3x Leverage is -40.7 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -40.7 days is lower, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days below previous high of 351 days in the last 5 years of Universal Investment Strategy 3x Leverage, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• Compared with SPY (119 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 351 days is higher, thus worse.

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 (32 days) in the period of the last 5 years, the average days below previous high of 95 days of Universal Investment Strategy 3x Leverage is higher, thus worse.
• Compared with SPY (22 days) in the period of the last 3 years, the average time in days below previous high water mark of 102 days is greater, thus worse.