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 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (122.1%) in the period of the last 5 years, the total return of 88.5% of Universal Investment Strategy 2x Leverage is lower, thus worse.
  • During the last 3 years, the total return, or increase in value is 53.1%, which is lower, thus worse than the value of 64.6% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The compounded annual growth rate (CAGR) over 5 years of Universal Investment Strategy 2x Leverage is 13.5%, which is lower, thus worse compared to the benchmark SPY (17.3%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is 15.3%, which is smaller, thus worse than the value of 18.1% 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.'

Which means for our asset as example:
  • The volatility over 5 years of Universal Investment Strategy 2x Leverage is 17.1%, which is smaller, thus better compared to the benchmark SPY (18.7%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 19.7%, which is lower, thus better than the value of 22.5% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 12.5% of Universal Investment Strategy 2x Leverage is lower, thus better.
  • Compared with SPY (16.4%) in the period of the last 3 years, the downside risk of 14.5% is lower, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.79) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.64 of Universal Investment Strategy 2x Leverage is lower, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of 0.65 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.69).

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of 0.88 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 (1.09)
  • Compared with SPY (0.95) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.88 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (5.58 ) in the period of the last 5 years, the Downside risk index of 8.92 of Universal Investment Strategy 2x Leverage is higher, thus worse.
  • Compared with SPY (6.83 ) in the period of the last 3 years, the Ulcer Index of 10 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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of Universal Investment Strategy 2x Leverage is -27.8 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum drop from peak to valley in of -27.8 days in the period of the last 3 years, we see it is relatively higher, 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). 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'

Which means for our asset as example:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 253 days of Universal Investment Strategy 2x Leverage is higher, thus worse.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 226 days is larger, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days below previous high of 70 days of Universal Investment Strategy 2x Leverage is larger, thus worse.
  • Looking at average days below previous high in of 55 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 days).

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.