US Market Strategy 2x Leverage

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return of 136.3% in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively greater, thus better in comparison to the benchmark SPY (106.3%)
• Looking at total return, or performance in of 27.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (31.3%).

CAGR:

'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.'

• Looking at the annual return (CAGR) of 18.8% in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively greater, thus better in comparison to the benchmark SPY (15.6%)
• Compared with SPY (9.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.6% is lower, thus worse.

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 volatility of 19% 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 (18%)
• Looking at 30 days standard deviation in of 18.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.8%).

DownVol:

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

• Looking at the downside deviation of 13.4% 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 (12.5%)
• During the last 3 years, the downside risk is 13.1%, which is larger, thus worse than the value of 13% 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.'

• The risk / return profile (Sharpe) over 5 years of US Market Strategy 2x Leverage is 0.86, which is greater, thus better compared to the benchmark SPY (0.73) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.32, which is smaller, thus worse than the value of 0.37 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 excess return divided by the downside deviation of 1.22 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 (1.05)
• Looking at ratio of annual return and downside deviation in of 0.46 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.54).

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.'

• Compared with the benchmark SPY (8.44 ) in the period of the last 5 years, the Downside risk index of 8.81 of US Market Strategy 2x Leverage is larger, thus worse.
• During the last 3 years, the Ulcer Ratio is 7.77 , which is larger, thus worse than the value of 5.72 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.'

• Looking at the maximum drop from peak to valley of -27.8 days 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 (-24.5 days)
• During the last 3 years, the maximum drop from peak to valley is -22.8 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum days below previous high of 392 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 (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 274 days is larger, 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.'

• The average days below previous high over 5 years of US Market Strategy 2x Leverage is 89 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 71 days, which is greater, thus worse than the value of 45 days from the benchmark.