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.'

• Compared with the benchmark SPY (81.8%) in the period of the last 5 years, the total return, or performance of 120.4% of US Market Strategy 2x Leverage Unhedged is higher, thus better.
• Looking at total return, or increase in value in of 97.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (78.5%).

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 performance (CAGR) of 17.2% 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 (12.8%)
• Looking at compounded annual growth rate (CAGR) in of 25.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (21.5%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The volatility over 5 years of US Market Strategy 2x Leverage Unhedged is 34.9%, which is higher, thus worse compared to the benchmark SPY (17.2%) in the same period.
• During the last 3 years, the 30 days standard deviation is 33.2%, which is larger, thus worse than the value of 15.3% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 24.2% 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 (11.9%)
• Compared with SPY (10.3%) in the period of the last 3 years, the downside risk of 22.9% is higher, thus worse.

Sharpe:

'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.'

• Compared with the benchmark SPY (0.6) in the period of the last 5 years, the Sharpe Ratio of 0.42 of US Market Strategy 2x Leverage Unhedged is lower, thus worse.
• Compared with SPY (1.24) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.7 is lower, thus worse.

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.'

• The downside risk / excess return profile over 5 years of US Market Strategy 2x Leverage Unhedged is 0.61, which is lower, thus worse compared to the benchmark SPY (0.87) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.01 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.85).

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 Ulcer Ratio of 16 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 (8.46 )
• Looking at Downside risk index in of 10 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.36 ).

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 reduction from previous high over 5 years of US Market Strategy 2x Leverage Unhedged is -43.1 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high 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 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 days below previous high over 5 years of US Market Strategy 2x Leverage Unhedged is 392 days, which is lower, 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 higher, 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.'

• Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average days below previous high of 96 days of US Market Strategy 2x Leverage Unhedged is lower, thus better.
• Looking at average days under water in of 44 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17 days).