US Market Strategy 2x Leverage Unhedged

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.'

• The total return over 5 years of US Market Strategy 2x Leverage Unhedged is 264.3%, which is higher, thus better compared to the benchmark SPY (123.5%) in the same period.
• Looking at total return, or increase in value in of 142.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (84.1%).

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.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the annual performance (CAGR) of 29.6% of US Market Strategy 2x Leverage Unhedged is higher, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 34.6%, which is higher, thus better than the value of 22.7% from the benchmark.

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.'

• Looking at the historical 30 days volatility of 32.9% 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 (17.2%)
• Looking at 30 days standard deviation in of 31.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16%).

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 deviation of 22.7% in the last 5 years of US Market Strategy 2x Leverage Unhedged, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.7%)
• During the last 3 years, the downside risk is 21.4%, which is higher, thus worse than the value of 10.5% from the benchmark.

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.'

• Compared with the benchmark SPY (0.88) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.83 of US Market Strategy 2x Leverage Unhedged is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is 1.02, which is smaller, thus worse than the value of 1.26 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.'

• Looking at the ratio of annual return and downside deviation of 1.19 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 (1.28)
• Compared with SPY (1.92) in the period of the last 3 years, the excess return divided by the downside deviation of 1.5 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.'

• Compared with the benchmark SPY (8.41 ) in the period of the last 5 years, the Downside risk index of 16 of US Market Strategy 2x Leverage Unhedged is larger, thus worse.
• Looking at Ulcer Index in of 10 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.62 ).

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.'

• 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)
• During the last 3 years, the maximum DrawDown is -36.8 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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.'

• The maximum time in days below previous high water mark over 5 years of US Market Strategy 2x Leverage Unhedged is 392 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 197 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 days).

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.'

• Looking at the average days below previous high of 95 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 (121 days)
• Looking at average days below previous high in of 52 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (21 days).