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 191.2% 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 (60.6%)
• During the last 3 years, the total return is 46.5%, which is greater, thus better than the value of 38% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of US Market Strategy 2x Leverage is 23.9%, which is higher, thus better compared to the benchmark SPY (10%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 13.6%, which is greater, thus better than the value of 11.3% 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.'

• The volatility over 5 years of US Market Strategy 2x Leverage is 20.1%, which is lower, thus better compared to the benchmark SPY (21.5%) in the same period.
• During the last 3 years, the volatility is 18.4%, which is larger, thus worse than the value of 17.9% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of US Market Strategy 2x Leverage is 14.2%, which is smaller, thus better compared to the benchmark SPY (15.5%) in the same period.
• During the last 3 years, the downside volatility is 12.9%, which is higher, thus worse than the value of 12.5% from the benchmark.

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.'

• Compared with the benchmark SPY (0.35) in the period of the last 5 years, the Sharpe Ratio of 1.06 of US Market Strategy 2x Leverage is higher, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 0.6 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.49).

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 downside risk / excess return profile over 5 years of US Market Strategy 2x Leverage is 1.51, which is higher, thus better compared to the benchmark SPY (0.48) in the same period.
• Compared with SPY (0.71) in the period of the last 3 years, the downside risk / excess return profile of 0.86 is higher, thus better.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Downside risk index over 5 years of US Market Strategy 2x Leverage is 8.91 , which is lower, thus better compared to the benchmark SPY (9.55 ) in the same period.
• During the last 3 years, the Downside risk index is 10 , which is larger, 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 DrawDown 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.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -27.8 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.'

• The maximum days under water over 5 years of US Market Strategy 2x Leverage is 392 days, which is lower, thus better compared to the benchmark SPY (431 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 392 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (431 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.'

• Compared with the benchmark SPY (105 days) in the period of the last 5 years, the average time in days below previous high water mark of 89 days of US Market Strategy 2x Leverage is lower, thus better.
• Compared with SPY (144 days) in the period of the last 3 years, the average days under water of 119 days is smaller, thus better.