This is the unhedged substrategy for the 2x leveraged US Market strategy

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (99.9%) in the period of the last 5 years, the total return, or performance of 398.8% of US Market Strategy 2x Leverage Unhedged is higher, thus better.
- Looking at total return, or increase in value in of 72% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (35%).

'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.'

Applying this definition to our asset in some examples:- Looking at the annual performance (CAGR) of 38% 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 (14.9%)
- Compared with SPY (10.5%) in the period of the last 3 years, the annual performance (CAGR) of 19.8% is higher, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the 30 days standard deviation of 42.4% 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 (20.9%)
- Looking at volatility in of 33% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

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

Using this definition on our asset we see for example:- Looking at the downside volatility of 30.1% 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 (15%)
- Looking at downside risk in of 23% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12%).

'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.'

Which means for our asset as example:- The ratio of return and volatility (Sharpe) over 5 years of US Market Strategy 2x Leverage Unhedged is 0.84, which is higher, thus better compared to the benchmark SPY (0.59) in the same period.
- Compared with SPY (0.47) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.53 is higher, thus better.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.83) in the period of the last 5 years, the downside risk / excess return profile of 1.18 of US Market Strategy 2x Leverage Unhedged is higher, thus better.
- Looking at excess return divided by the downside deviation in of 0.75 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.67).

'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.'

Which means for our asset as example:- Looking at the Ulcer Ratio of 16 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 (9.32 )
- During the last 3 years, the Ulcer Index is 18 , which is larger, thus worse than the value of 10 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -51.7 days of US Market Strategy 2x Leverage Unhedged is smaller, thus worse.
- Looking at maximum DrawDown in of -43.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

'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.'

Using this definition on our asset we see for example:- Looking at the maximum days below previous high 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)
- During the last 3 years, the maximum days below previous high is 392 days, which is lower, thus better than the value of 488 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (124 days) in the period of the last 5 years, the average days below previous high of 87 days of US Market Strategy 2x Leverage Unhedged is smaller, thus better.
- During the last 3 years, the average days under water is 124 days, which is lower, thus better than the value of 181 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of US Market Strategy 2x Leverage Unhedged are hypothetical and do not account for slippage, fees or taxes.
- Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.