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 118.6%, which is greater, thus better compared to the benchmark SPY (94.2%) in the same period.
• During the last 3 years, the total return, or increase in value is 89.7%, which is larger, thus better than the value of 81.9% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of US Market Strategy 2x Leverage is 17%, which is greater, thus better compared to the benchmark SPY (14.3%) in the same period.
• During the last 3 years, the annual return (CAGR) is 23.9%, which is larger, thus better than the value of 22.2% from the benchmark.

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.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the historical 30 days volatility of 17.4% of US Market Strategy 2x Leverage is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 16.6%, which is higher, thus worse than the value of 15.1% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside risk of 12% in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively higher, thus worse in comparison to the benchmark SPY (11.7%)
• During the last 3 years, the downside deviation is 11.2%, which is higher, thus worse than the value of 10.1% from the benchmark.

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.'

• Compared with the benchmark SPY (0.69) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.83 of US Market Strategy 2x Leverage is higher, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.29, which is smaller, thus worse than the value of 1.3 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 1.2 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 (1)
• During the last 3 years, the ratio of annual return and downside deviation is 1.91, which is lower, thus worse than the value of 1.95 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.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Ulcer Index of 8.94 of US Market Strategy 2x Leverage is higher, thus worse.
• Compared with SPY (3.4 ) in the period of the last 3 years, the Ulcer Ratio of 5.92 is larger, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -27.8 days of US Market Strategy 2x Leverage is smaller, thus worse.
• Looking at maximum drop from peak to valley in of -19.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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 time in days below previous high water mark of 392 days 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 (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 192 days is higher, 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.'

• The average days under water over 5 years of US Market Strategy 2x Leverage is 95 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• Looking at average days under water in of 44 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (19 days).