US Market Strategy 2x Leverage Unhedged

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 (110.7%) in the period of the last 5 years, the total return, or increase in value of 437.5% of US Market Strategy 2x Leverage Unhedged is larger, thus better.
• During the last 3 years, the total return is 70.9%, which is larger, thus better than the value of 34.5% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of 40.1% in the last 5 years of US Market Strategy 2x Leverage Unhedged, we see it is relatively higher, thus better in comparison to the benchmark SPY (16.1%)
• Looking at annual performance (CAGR) in of 19.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (10.4%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the 30 days standard deviation of 42.3% of US Market Strategy 2x Leverage Unhedged is larger, thus worse.
• Compared with SPY (17.5%) in the period of the last 3 years, the historical 30 days volatility of 33.3% 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.'

• Looking at the downside risk of 30% in the last 5 years of US Market Strategy 2x Leverage Unhedged, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.9%)
• Looking at downside risk in of 23.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.3%).

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 (0.65) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.89 of US Market Strategy 2x Leverage Unhedged is greater, thus better.
• Compared with SPY (0.45) in the period of the last 3 years, the Sharpe Ratio of 0.51 is larger, thus better.

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.'

• Looking at the ratio of annual return and downside deviation of 1.25 in the last 5 years of US Market Strategy 2x Leverage Unhedged, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.91)
• Looking at excess return divided by the downside deviation in of 0.74 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.65).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Index of 16 of US Market Strategy 2x Leverage Unhedged is higher, thus worse.
• Looking at Downside risk index in of 18 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -51.7 days of US Market Strategy 2x Leverage Unhedged is smaller, thus worse.
• During the last 3 years, the maximum DrawDown is -43.1 days, which is lower, thus worse than the value of -24.5 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) in days.'

• Looking at the maximum days under water of 392 days in the last 5 years of US Market Strategy 2x Leverage Unhedged, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 392 days, which is lower, thus better than the value of 488 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 days under water over 5 years of US Market Strategy 2x Leverage Unhedged is 87 days, which is lower, thus better compared to the benchmark SPY (124 days) in the same period.
• Compared with SPY (179 days) in the period of the last 3 years, the average time in days below previous high water mark of 124 days is smaller, thus better.