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.'

• Compared with the benchmark SPY (115.6%) in the period of the last 5 years, the total return, or performance of 654.5% of US Market Strategy 2x Leverage Unhedged is larger, thus better.
• Compared with SPY (43%) in the period of the last 3 years, the total return, or increase in value of 179.3% is higher, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The compounded annual growth rate (CAGR) over 5 years of US Market Strategy 2x Leverage Unhedged is 49.8%, which is greater, thus better compared to the benchmark SPY (16.6%) in the same period.
• Looking at annual performance (CAGR) in of 40.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (12.6%).

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.'

• Looking at the historical 30 days volatility of 41.3% 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 (18.8%)
• During the last 3 years, the historical 30 days volatility is 50%, which is greater, thus worse than the value of 22.8% from the benchmark.

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 volatility of 29.5% 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 (13.6%)
• During the last 3 years, the downside deviation is 36%, which is larger, thus worse than the value of 16.7% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of 1.15 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 (0.75)
• During the last 3 years, the risk / return profile (Sharpe) is 0.77, which is higher, thus better than the value of 0.44 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the ratio of annual return and downside deviation of 1.6 in the last 5 years of US Market Strategy 2x Leverage Unhedged, we see it is relatively higher, thus better in comparison to the benchmark SPY (1.04)
• Compared with SPY (0.61) in the period of the last 3 years, the excess return divided by the downside deviation of 1.06 is larger, thus better.

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.'

• Looking at the Downside risk index of 10 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 (5.59 )
• During the last 3 years, the Ulcer Ratio is 13 , which is greater, thus worse than the value of 7.14 from the benchmark.

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.'

• 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 lower, thus worse.
• Looking at maximum DrawDown in of -51.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

• Looking at the maximum days under water of 114 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 (139 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 114 days is smaller, thus better.

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 24 days, which is smaller, thus better compared to the benchmark SPY (33 days) in the same period.
• During the last 3 years, the average days under water is 32 days, which is smaller, thus better than the value of 45 days from the benchmark.