Universal Investment Strategy 2x Leverage

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (75.6%) in the period of the last 5 years, the total return, or performance of 44.3% of Universal Investment Strategy 2x Leverage is lower, thus worse.
• Compared with SPY (40%) in the period of the last 3 years, the total return, or increase in value of 7.1% is lower, thus worse.

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.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the annual performance (CAGR) of 7.6% of Universal Investment Strategy 2x Leverage is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 2.3%, which is lower, thus worse than the value of 11.9% 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.'

• Compared with the benchmark SPY (20.3%) in the period of the last 5 years, the 30 days standard deviation of 18.6% of Universal Investment Strategy 2x Leverage is smaller, thus better.
• Compared with SPY (23.6%) in the period of the last 3 years, the historical 30 days volatility of 21.8% is lower, thus better.

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.'

• Looking at the downside risk of 13.8% in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively smaller, thus better in comparison to the benchmark SPY (14.9%)
• Compared with SPY (17.3%) in the period of the last 3 years, the downside deviation of 16.4% is smaller, thus better.

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 Universal Investment Strategy 2x Leverage is 0.27, which is lower, thus worse compared to the benchmark SPY (0.46) in the same period.
• Compared with SPY (0.4) in the period of the last 3 years, the Sharpe Ratio of -0.01 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.63) in the period of the last 5 years, the downside risk / excess return profile of 0.37 of Universal Investment Strategy 2x Leverage is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of -0.01 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 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 Index over 5 years of Universal Investment Strategy 2x Leverage is 12 , which is larger, thus worse compared to the benchmark SPY (6.62 ) in the same period.
• Compared with SPY (7.55 ) in the period of the last 3 years, the Ulcer Index of 15 is larger, 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 reduction from previous high over 5 years of Universal Investment Strategy 2x Leverage is -36.3 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high in of -36.3 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 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 time in days below previous high water mark of 456 days in the last 5 years of Universal Investment Strategy 2x Leverage, we see it is relatively greater, thus worse in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum time in days below previous high water mark is 456 days, which is higher, thus worse than the value of 120 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 2x Leverage is 127 days, which is higher, thus worse compared to the benchmark SPY (37 days) in the same period.
• Looking at average days under water in of 160 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (31 days).