US Market Strategy 2x Leverage Unhedged

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.'

• The total return over 5 years of US Market Strategy 2x Leverage Unhedged is 617.1%, which is higher, thus better compared to the benchmark SPY (122.1%) in the same period.
• During the last 3 years, the total return, or performance is 205.2%, which is higher, thus better 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.'

• The annual performance (CAGR) over 5 years of US Market Strategy 2x Leverage Unhedged is 48.4%, which is higher, thus better compared to the benchmark SPY (17.3%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 45.1%, which is larger, thus better than the value of 18.1% 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 41.8% 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 (18.7%)
• Looking at 30 days standard deviation in of 49.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.5%).

DownVol:

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

• The downside deviation over 5 years of US Market Strategy 2x Leverage Unhedged is 29.9%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Looking at downside risk in of 35.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.4%).

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 (0.79) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.1 of US Market Strategy 2x Leverage Unhedged is higher, thus better.
• Compared with SPY (0.69) in the period of the last 3 years, the Sharpe Ratio of 0.86 is higher, thus better.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark SPY (1.09) in the period of the last 5 years, the downside risk / excess return profile of 1.53 of US Market Strategy 2x Leverage Unhedged is greater, thus better.
• Looking at excess return divided by the downside deviation in of 1.2 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.95).

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.'

• Compared with the benchmark SPY (5.58 ) in the period of the last 5 years, the Downside risk index of 10 of US Market Strategy 2x Leverage Unhedged is greater, thus worse.
• Compared with SPY (6.83 ) in the period of the last 3 years, the Downside risk index of 13 is greater, thus worse.

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.'

• The maximum DrawDown over 5 years of US Market Strategy 2x Leverage Unhedged is -51.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -51.7 days, which is smaller, thus worse than the value of -33.7 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.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 114 days of US Market Strategy 2x Leverage Unhedged is lower, thus better.
• Looking at maximum days below previous high in of 114 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 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 under water of 27 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 (33 days)
• During the last 3 years, the average time in days below previous high water mark is 36 days, which is higher, thus worse than the value of 35 days from the benchmark.