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.'

• The total return, or performance over 5 years of US Market Strategy 2x Leverage is 65.4%, which is smaller, thus worse compared to the benchmark SPY (83.8%) in the same period.
• During the last 3 years, the total return is 50.3%, which is smaller, thus worse than the value of 75.2% 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.'

• The compounded annual growth rate (CAGR) over 5 years of US Market Strategy 2x Leverage is 10.6%, which is smaller, thus worse compared to the benchmark SPY (13%) in the same period.
• Looking at annual performance (CAGR) in of 14.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (20.7%).

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.'

• Looking at the 30 days standard deviation of 18.5% in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.2%)
• Looking at volatility in of 18% in the period of the last 3 years, we see it is relatively greater, 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.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the downside deviation of 13% of US Market Strategy 2x Leverage is larger, thus worse.
• During the last 3 years, the downside deviation is 12.5%, which is higher, 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 Sharpe Ratio of 0.44 in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.68, which is lower, thus worse than the value of 1.19 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.'

• Looking at the ratio of annual return and downside deviation of 0.63 in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.89)
• During the last 3 years, the excess return divided by the downside deviation is 0.97, which is lower, thus worse than the value of 1.76 from the benchmark.

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 Ulcer Ratio over 5 years of US Market Strategy 2x Leverage is 9.09 , which is greater, thus worse compared to the benchmark SPY (8.46 ) in the same period.
• Compared with SPY (3.38 ) in the period of the last 3 years, the Ulcer Ratio of 5.91 is greater, 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 DrawDown over 5 years of US Market Strategy 2x Leverage is -27.8 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -19.9 days is lower, thus worse.

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 days under water of 392 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 (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 192 days is greater, thus worse.

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 time in days below previous high water mark of 97 days 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 (119 days)
• Compared with SPY (18 days) in the period of the last 3 years, the average time in days below previous high water mark of 47 days is larger, thus worse.