Universal Investment 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.'

• Compared with the benchmark SPY (108.3%) in the period of the last 5 years, the total return of 76.5% of Universal Investment Strategy is lower, thus worse.
• Compared with SPY (49.1%) in the period of the last 3 years, the total return, or increase in value of 37.1% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (15.8%) in the period of the last 5 years, the annual return (CAGR) of 12.1% of Universal Investment Strategy is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is 11.2%, which is lower, thus worse than the value of 14.3% 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.'

• The historical 30 days volatility over 5 years of Universal Investment Strategy is 8.9%, which is lower, thus better compared to the benchmark SPY (17.9%) in the same period.
• Looking at volatility in of 8.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.1%).

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.'

• The downside risk over 5 years of Universal Investment Strategy is 6.2%, which is smaller, thus better compared to the benchmark SPY (12.4%) in the same period.
• Looking at downside volatility in of 5.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.2%).

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 ratio of return and volatility (Sharpe) of 1.08 in the last 5 years of Universal Investment Strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.75)
• Compared with SPY (0.65) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.99 is higher, thus better.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The excess return divided by the downside deviation over 5 years of Universal Investment Strategy is 1.56, which is greater, thus better compared to the benchmark SPY (1.07) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.48, which is higher, thus better than the value of 0.97 from the benchmark.

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 (8.49 ) in the period of the last 5 years, the Ulcer Index of 4.35 of Universal Investment Strategy is lower, thus better.
• Looking at Downside risk index in of 2.24 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (5.55 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -12.2 days of Universal Investment Strategy is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -7.5 days, which is larger, thus better than the value of -18.8 days from the benchmark.

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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 489 days of Universal Investment Strategy is higher, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 115 days, which is lower, thus better than the value of 199 days from the benchmark.

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 time in days below previous high water mark over 5 years of Universal Investment Strategy is 120 days, which is larger, thus worse 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 29 days, which is lower, thus better than the value of 46 days from the benchmark.