This is an alternative, 2 times leveraged version of the US Market Strategy using:

- DDM ProShares Ultra Dow30
- QLD ProShares Ultra
- SSO ProShares Ultra S&P500

See more about the US Market Strategy.

'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.'

Applying this definition to our asset in some examples:- Looking at the total return, or performance of 172.3% in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively higher, thus better in comparison to the benchmark SPY (61.9%)
- Looking at total return, or increase in value in of 116.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (79.4%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (10.1%) in the period of the last 5 years, the annual return (CAGR) of 22.2% of US Market Strategy 2x Leverage is larger, thus better.
- Compared with SPY (21.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 29.3% is higher, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the 30 days standard deviation of 19.9% of US Market Strategy 2x Leverage is lower, thus better.
- During the last 3 years, the volatility is 21.3%, which is larger, thus worse than the value of 21.2% from the benchmark.

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

Using this definition on our asset we see for example:- Looking at the downside risk of 14.1% 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 (15.5%)
- Compared with SPY (14.1%) in the period of the last 3 years, the downside volatility of 14.5% is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.99 of US Market Strategy 2x Leverage is larger, thus better.
- Compared with SPY (0.9) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.26 is greater, thus better.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.49) in the period of the last 5 years, the excess return divided by the downside deviation of 1.4 of US Market Strategy 2x Leverage is higher, thus better.
- Compared with SPY (1.35) in the period of the last 3 years, the excess return divided by the downside deviation of 1.85 is greater, thus better.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (9.15 ) in the period of the last 5 years, the Downside risk index of 8.69 of US Market Strategy 2x Leverage is smaller, thus better.
- During the last 3 years, the Downside risk index is 10 , which is larger, thus worse than the value of 9.78 from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -27.8 days of US Market Strategy 2x Leverage is greater, thus better.
- During the last 3 years, the maximum drop from peak to valley is -27.8 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (305 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 334 days of US Market Strategy 2x Leverage is higher, thus worse.
- During the last 3 years, the maximum days below previous high is 334 days, which is greater, thus worse than the value of 305 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the average time in days below previous high water mark of 77 days in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively greater, thus worse in comparison to the benchmark SPY (65 days)
- Compared with SPY (80 days) in the period of the last 3 years, the average time in days below previous high water mark of 101 days is greater, thus worse.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of US Market Strategy 2x Leverage are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.