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.'

• Looking at the total return, or increase in value of 64.9% 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 (79.7%)
• Looking at total return in of 46% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (68.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the annual return (CAGR) of 10.6% of US Market Strategy 2x Leverage is lower, thus worse.
• Looking at annual return (CAGR) in of 13.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.2%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 18.4% in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.1%)
• Looking at 30 days standard deviation in of 17.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.3%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 volatility over 5 years of US Market Strategy 2x Leverage is 12.9%, which is larger, thus worse compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside volatility is 12.5%, which is higher, thus worse than the value of 10.3% from the benchmark.

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 (0.58) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.44 of US Market Strategy 2x Leverage is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.61 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.09).

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 0.62, which is lower, thus worse compared to the benchmark SPY (0.84) in the same period.
• Compared with SPY (1.62) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.88 is smaller, 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 Ulcer Index over 5 years of US Market Strategy 2x Leverage is 9.05 , which is larger, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Ulcer Ratio in of 6.06 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.52 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -27.8 days of US Market Strategy 2x Leverage is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -19.9 days is smaller, 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.'

• The maximum days below previous high over 5 years of US Market Strategy 2x Leverage is 392 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 192 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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 smaller, thus better in comparison to the benchmark SPY (119 days)
• Looking at average days under water in of 49 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (21 days).