Maximum Yield Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of 169% in the last 5 years of Maximum Yield Strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (67.9%)
• Looking at total return, or performance in of 44.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (38.6%).

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.'

• Looking at the annual performance (CAGR) of 21.9% in the last 5 years of Maximum Yield Strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.9%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 13.1%, which is higher, thus better than the value of 11.5% 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 historical 30 days volatility over 5 years of Maximum Yield Strategy is 26.4%, which is greater, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Looking at 30 days standard deviation in of 28.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21.5%).

DownVol:

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

• The downside risk over 5 years of Maximum Yield Strategy is 19.1%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Compared with SPY (15.7%) in the period of the last 3 years, the downside volatility of 21.1% is greater, thus worse.

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.'

• Looking at the Sharpe Ratio of 0.74 in the last 5 years of Maximum Yield Strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.45)
• Compared with SPY (0.42) in the period of the last 3 years, the Sharpe Ratio of 0.37 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of Maximum Yield Strategy is 1.02, which is higher, thus better compared to the benchmark SPY (0.62) in the same period.
• Compared with SPY (0.57) in the period of the last 3 years, the downside risk / excess return profile of 0.5 is lower, 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 Ratio over 5 years of Maximum Yield Strategy is 12 , which is greater, thus worse compared to the benchmark SPY (5.82 ) in the same period.
• Compared with SPY (6.87 ) in the period of the last 3 years, the Downside risk index of 13 is higher, thus worse.

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 -44.6 days in the last 5 years of Maximum Yield Strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -44.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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). 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'

• The maximum days under water over 5 years of Maximum Yield Strategy is 346 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 346 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.'

• Compared with the benchmark SPY (43 days) in the period of the last 5 years, the average days under water of 76 days of Maximum Yield Strategy is higher, thus worse.
• Looking at average days under water in of 99 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (39 days).