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 (74.4%) in the period of the last 5 years, the total return, or performance of 115% of US Market Strategy 2x Leverage Unhedged is larger, thus better.
• Compared with SPY (69.4%) in the period of the last 3 years, the total return, or increase in value of 114.9% is higher, thus better.

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 16.6% in the last 5 years of US Market Strategy 2x Leverage Unhedged, we see it is relatively greater, thus better in comparison to the benchmark SPY (11.8%)
• Looking at annual return (CAGR) in of 29.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (19.3%).

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.'

• The historical 30 days volatility over 5 years of US Market Strategy 2x Leverage Unhedged is 32.9%, which is larger, thus worse compared to the benchmark SPY (17%) in the same period.
• Compared with SPY (15%) in the period of the last 3 years, the historical 30 days volatility of 31.2% is larger, thus worse.

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 23% of US Market Strategy 2x Leverage Unhedged is higher, thus worse.
• Looking at downside deviation in of 21.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.1%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of US Market Strategy 2x Leverage Unhedged is 0.43, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
• Looking at Sharpe Ratio in of 0.85 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.12).

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.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.61 of US Market Strategy 2x Leverage Unhedged is lower, thus worse.
• Compared with SPY (1.66) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.25 is lower, thus worse.

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.'

• Looking at the Downside risk index of 16 in the last 5 years of US Market Strategy 2x Leverage Unhedged, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.43 )
• Looking at Ulcer Ratio in of 10 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.44 ).

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.'

• Looking at the maximum drop from peak to valley of -43.1 days in the last 5 years of US Market Strategy 2x Leverage Unhedged, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -36.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• Looking at the maximum time in days below previous high water mark of 392 days in the last 5 years of US Market Strategy 2x Leverage Unhedged, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 197 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.'

• The average time in days below previous high water mark over 5 years of US Market Strategy 2x Leverage Unhedged is 94 days, which is smaller, thus better compared to the benchmark SPY (119 days) in the same period.
• Looking at average days below previous high in of 46 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20 days).