Description

The 2x Universal Investment Strategy (UISx2) is a leveraged version of our core Universal Investment Strategy (UIS), an evolved, intelligent version of the classic 60/40 equity/bond portfolio that can adapt to current conditions, shifting portfolio weight away from stocks in difficult markets and adding weight to equity in bull runs.

The 2x leveraged version of the strategy employs leveraged versions of a S&P 500 ETF, a Treasury 20+ year ETF and a gold ETF.

The UISx2 is appropriate for investors who are comfortable taking on higher risks in exchange for the potential for of higher returns. Because leveraged ETFs are used, we recommend allocating no more than 25% of your total portfolio to this strategy.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Looking at the total return, or performance of 118% in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively lower, thus worse in comparison to the benchmark SPY (128%)
  • During the last 3 years, the total return, or performance is 67.9%, which is lower, thus worse than the value of 74.9% 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.'

Which means for our asset as example:
  • Looking at the annual performance (CAGR) of 16.9% in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively lower, thus worse in comparison to the benchmark SPY (18%)
  • Compared with SPY (20.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 18.9% 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.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 17.2% in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.8%)
  • During the last 3 years, the volatility is 20%, which is smaller, thus better than the value of 22.3% from the benchmark.

DownVol:

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

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 12.5% in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.6%)
  • Looking at downside deviation in of 14.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.1%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.82) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.84 of Universal Investment Strategy 2x Leverage is higher, thus better.
  • During the last 3 years, the Sharpe Ratio is 0.82, which is larger, thus better than the value of 0.81 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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of Universal Investment Strategy 2x Leverage is 1.15, which is higher, thus better compared to the benchmark SPY (1.13) in the same period.
  • Looking at downside risk / excess return profile in of 1.12 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.11).

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.'

Using this definition on our asset we see for example:
  • The Ulcer Index over 5 years of Universal Investment Strategy 2x Leverage is 9.8 , which is higher, thus worse compared to the benchmark SPY (5.59 ) in the same period.
  • Compared with SPY (6.3 ) in the period of the last 3 years, the Downside risk index of 12 is larger, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -27.8 days of Universal Investment Strategy 2x Leverage is higher, thus better.
  • Looking at maximum reduction from previous high in of -27.8 days in the period of the last 3 years, we see it is relatively greater, thus better 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) in days.'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of 315 days in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
  • Looking at maximum days below previous high in of 315 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (119 days).

AveDuration:

'The Average 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. 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.'

Which means for our asset as example:
  • The average time in days below previous high water mark over 5 years of Universal Investment Strategy 2x Leverage is 83 days, which is larger, thus worse compared to the benchmark SPY (32 days) in the same period.
  • During the last 3 years, the average time in days below previous high water mark is 86 days, which is larger, thus worse than the value of 23 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Universal Investment Strategy 2x Leverage are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.