'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.'

Which means for our asset as example:- The total return over 5 years of The US Market Strategy undhedged is 189.3%, which is greater, thus better compared to the benchmark SPY (74.2%) in the same period.
- During the last 3 years, the total return, or increase in value is 93.6%, which is greater, thus better than the value of 50.1% from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the annual return (CAGR) of 23.7% of The US Market Strategy undhedged is larger, thus better.
- Looking at annual return (CAGR) in of 24.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (14.5%).

'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.'

Which means for our asset as example:- Looking at the 30 days standard deviation of 13.5% in the last 5 years of The US Market Strategy undhedged, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.3%)
- Looking at historical 30 days volatility in of 13.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (13%).

'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.'

Using this definition on our asset we see for example:- The downside risk over 5 years of The US Market Strategy undhedged is 9.4%, which is smaller, thus better compared to the benchmark SPY (9.6%) in the same period.
- During the last 3 years, the downside deviation is 9.4%, which is higher, thus worse than the value of 9.4% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The risk / return profile (Sharpe) over 5 years of The US Market Strategy undhedged is 1.57, which is larger, thus better compared to the benchmark SPY (0.69) in the same period.
- Looking at ratio of return and volatility (Sharpe) in of 1.68 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.93).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.96) in the period of the last 5 years, the excess return divided by the downside deviation of 2.25 of The US Market Strategy undhedged is higher, thus better.
- Compared with SPY (1.27) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.35 is higher, thus better.

'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:- The Downside risk index over 5 years of The US Market Strategy undhedged is 3.01 , which is smaller, thus better compared to the benchmark SPY (3.97 ) in the same period.
- During the last 3 years, the Downside risk index is 3 , which is lower, thus better than the value of 4.1 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the maximum DrawDown of -13.9 days in the last 5 years of The US Market Strategy undhedged, we see it is relatively higher, thus better in comparison to the benchmark SPY (-19.3 days)
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -12.6 days is higher, thus better.

'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:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 126 days of The US Market Strategy undhedged is lower, thus better.
- During the last 3 years, the maximum days under water is 126 days, which is lower, thus better than the value of 139 days from the benchmark.

'The Average 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. 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:- Looking at the average time in days below previous high water mark of 21 days in the last 5 years of The US Market Strategy undhedged, we see it is relatively lower, thus better in comparison to the benchmark SPY (42 days)
- During the last 3 years, the average days under water is 25 days, which is smaller, thus better than the value of 37 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 The US Market Strategy undhedged are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.