Description

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

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'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.'

Which means for our asset as example:
  • The total return, or performance over 5 years of US Market Strategy 2x Leverage Unhedged is 220.5%, which is larger, thus better compared to the benchmark SPY (110.6%) in the same period.
  • Looking at total return in of 176.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (92.2%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 26.3% 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 (16.1%)
  • Looking at annual return (CAGR) in of 40.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (24.5%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the volatility of 33% of US Market Strategy 2x Leverage Unhedged is larger, thus worse.
  • Looking at volatility in of 31.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.3%).

DownVol:

'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:
  • The downside deviation over 5 years of US Market Strategy 2x Leverage Unhedged is 22.9%, which is greater, thus worse compared to the benchmark SPY (11.8%) in the same period.
  • Looking at downside volatility in of 21.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.5%).

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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of US Market Strategy 2x Leverage Unhedged is 0.72, which is smaller, thus worse compared to the benchmark SPY (0.79) in the same period.
  • During the last 3 years, the risk / return profile (Sharpe) is 1.21, which is smaller, thus worse than the value of 1.35 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (1.15) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.04 of US Market Strategy 2x Leverage Unhedged is lower, thus worse.
  • During the last 3 years, the excess return divided by the downside deviation is 1.81, which is smaller, thus worse than the value of 2.09 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Index 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 (8.43 )
  • Looking at Ulcer Index in of 10 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.62 ).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -43.1 days of US Market Strategy 2x Leverage Unhedged is lower, thus worse.
  • Looking at maximum DrawDown in of -36.8 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

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.'

Which means for our asset as example:
  • The maximum days under water 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.
  • Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 197 days is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • 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 (120 days)
  • During the last 3 years, the average days below previous high is 52 days, which is greater, thus worse than the value of 21 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • 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.