US Market Strategy 2x Leverage

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.'

• The total return, or performance over 5 years of US Market Strategy 2x Leverage is 224.4%, which is greater, thus better compared to the benchmark SPY (109.8%) in the same period.
• Compared with SPY (34.9%) in the period of the last 3 years, the total return, or performance of 44.4% is higher, thus better.

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.'

• Compared with the benchmark SPY (16%) in the period of the last 5 years, the annual return (CAGR) of 26.6% of US Market Strategy 2x Leverage is higher, thus better.
• Looking at compounded annual growth rate (CAGR) in of 13.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (10.5%).

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 is 20.2%, which is smaller, thus better compared to the benchmark SPY (20.9%) in the same period.
• Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 18.2% is higher, thus worse.

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 deviation of 14.1% in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively smaller, thus better in comparison to the benchmark SPY (14.9%)
• Compared with SPY (12.3%) in the period of the last 3 years, the downside risk of 12.6% is greater, 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.'

• Looking at the ratio of return and volatility (Sharpe) of 1.19 in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.65)
• During the last 3 years, the risk / return profile (Sharpe) is 0.58, which is greater, thus better than the value of 0.46 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.9) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.7 of US Market Strategy 2x Leverage is larger, thus better.
• Compared with SPY (0.65) in the period of the last 3 years, the excess return divided by the downside deviation of 0.84 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 Ulcer Index of 8.81 in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.32 )
• Looking at Ulcer Ratio in of 10 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum reduction from previous high of -27.8 days in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -27.8 days is smaller, thus worse.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 392 days of US Market Strategy 2x Leverage is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 392 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (488 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.'

• The average days under water over 5 years of US Market Strategy 2x Leverage is 88 days, which is lower, thus better compared to the benchmark SPY (123 days) in the same period.
• During the last 3 years, the average days below previous high is 120 days, which is smaller, thus better than the value of 178 days from the benchmark.