US Market 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.'

• Compared with the benchmark SPY (104.4%) in the period of the last 5 years, the total return, or performance of 209.6% of US Market Strategy 2x Leverage is larger, thus better.
• During the last 3 years, the total return, or increase in value is 36.3%, which is higher, thus better than the value of 31.6% from the benchmark.

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 (15.4%) in the period of the last 5 years, the annual performance (CAGR) of 25.4% of US Market Strategy 2x Leverage is higher, thus better.
• During the last 3 years, the annual return (CAGR) is 10.9%, which is higher, thus better than the value of 9.6% 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 (20.9%) in the period of the last 5 years, the historical 30 days volatility of 20.2% of US Market Strategy 2x Leverage is lower, thus better.
• Compared with SPY (17.7%) in the period of the last 3 years, the 30 days standard deviation of 18.2% is greater, thus worse.

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 US Market Strategy 2x Leverage is 14.2%, which is smaller, thus better compared to the benchmark SPY (14.9%) in the same period.
• Looking at downside deviation in of 12.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

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 1.13 in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.62)
• During the last 3 years, the Sharpe Ratio is 0.46, which is greater, thus better than the value of 0.4 from the benchmark.

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 excess return divided by the downside deviation over 5 years of US Market Strategy 2x Leverage is 1.62, which is higher, thus better compared to the benchmark SPY (0.86) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.67, which is higher, thus better than the value of 0.58 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Index of 8.81 in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.32 )
• During the last 3 years, the Downside risk index is 10 , which is higher, thus worse than the value of 10 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 drop from peak to valley over 5 years of US Market Strategy 2x Leverage is -27.8 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -27.8 days, which is lower, thus worse than the value of -24.5 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 392 days of US Market Strategy 2x Leverage is lower, thus better.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 392 days is lower, thus better.

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.'

• Looking at the average days below previous high of 88 days in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively smaller, thus better in comparison to the benchmark SPY (123 days)
• During the last 3 years, the average time in days below previous high water mark is 120 days, which is smaller, thus better than the value of 177 days from the benchmark.