Maximum Yield Strategy

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.'

• The total return, or performance over 5 years of Maximum Yield Strategy is 76.9%, which is smaller, thus worse compared to the benchmark SPY (124.9%) in the same period.
• Looking at total return, or performance in of 24.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (60.5%).

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.'

• The annual return (CAGR) over 5 years of Maximum Yield Strategy is 12.1%, which is smaller, thus worse compared to the benchmark SPY (17.6%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 7.7%, which is lower, thus worse than the value of 17.1% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 23.2% of Maximum Yield Strategy is higher, thus worse.
• Compared with SPY (22.6%) in the period of the last 3 years, the historical 30 days volatility of 26.9% is larger, thus worse.

DownVol:

'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.'

• Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the downside deviation of 16.7% of Maximum Yield Strategy is higher, thus worse.
• During the last 3 years, the downside deviation is 19.4%, which is larger, thus worse than the value of 16.4% 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 (0.81) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.41 of Maximum Yield Strategy is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.19 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.65).

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 0.57, which is lower, thus worse compared to the benchmark SPY (1.12) in the same period.
• Compared with SPY (0.89) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.27 is lower, thus worse.

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 Ulcer Index over 5 years of Maximum Yield Strategy is 10 , which is higher, thus worse compared to the benchmark SPY (5.58 ) in the same period.
• Compared with SPY (6.82 ) 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.'

• The maximum DrawDown over 5 years of Maximum Yield Strategy is -35.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -35.7 days, which is lower, thus worse than the value of -33.7 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 407 days in the last 5 years of Maximum Yield Strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
• Looking at maximum days under water in of 407 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (128 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.'

• The average days below previous high over 5 years of Maximum Yield Strategy is 96 days, which is greater, thus worse compared to the benchmark SPY (32 days) in the same period.
• Looking at average days under water in of 126 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (33 days).