US Market Strategy 2x Leverage

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.'

• Compared with the benchmark SPY (100.7%) in the period of the last 5 years, the total return of 251.4% of US Market Strategy 2x Leverage is higher, thus better.
• Compared with SPY (33.2%) in the period of the last 3 years, the total return, or increase in value of 50% is larger, thus better.

CAGR:

'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.'

• The annual return (CAGR) over 5 years of US Market Strategy 2x Leverage is 28.6%, which is greater, thus better compared to the benchmark SPY (15%) in the same period.
• Looking at annual performance (CAGR) in of 14.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (10%).

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.'

• Looking at the volatility of 20% 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 (20.9%)
• During the last 3 years, the 30 days standard deviation is 17.7%, which is greater, thus worse than the value of 17.3% 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 risk of 13.9% 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 (15%)
• Looking at downside volatility in of 12.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12%).

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 1.31 in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.6)
• Looking at Sharpe Ratio in of 0.68 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.44).

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.'

• Compared with the benchmark SPY (0.83) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.87 of US Market Strategy 2x Leverage is greater, thus better.
• Compared with SPY (0.62) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.97 is greater, thus better.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Ratio over 5 years of US Market Strategy 2x Leverage is 8.78 , which is lower, thus better compared to the benchmark SPY (9.32 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 10 is larger, thus worse.

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 reduction from previous high of -27.8 days of US Market Strategy 2x Leverage is larger, thus better.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -27.8 days is lower, 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 time in days below previous high water mark of 392 days of US Market Strategy 2x Leverage is lower, thus better.
• Looking at maximum days below previous high in of 392 days in the period of the last 3 years, we see it is relatively smaller, 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 under water is 122 days, which is lower, thus better than the value of 180 days from the benchmark.