Hedge Strategy

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.'

• The total return, or increase in value over 5 years of Hedge Strategy is 44.8%, which is lower, thus worse compared to the benchmark SPY (106.2%) in the same period.
• Compared with SPY (69%) in the period of the last 3 years, the total return, or increase in value of 25.8% is smaller, thus worse.

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.'

• Looking at the annual performance (CAGR) of 7.7% in the last 5 years of Hedge Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (15.6%)
• During the last 3 years, the annual return (CAGR) is 8%, which is smaller, thus worse than the value of 19.2% 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.'

• Looking at the historical 30 days volatility of 5.4% in the last 5 years of Hedge Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17.6%)
• Looking at 30 days standard deviation in of 5.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.7%).

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.'

• Compared with the benchmark SPY (12.2%) in the period of the last 5 years, the downside risk of 3.8% of Hedge Strategy is smaller, thus better.
• During the last 3 years, the downside volatility is 3.7%, which is lower, thus better than the value of 11.6% 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 (0.74) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.97 of Hedge Strategy is larger, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.02, which is larger, thus better than the value of 0.94 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.'

• The excess return divided by the downside deviation over 5 years of Hedge Strategy is 1.39, which is larger, thus better compared to the benchmark SPY (1.08) in the same period.
• Looking at downside risk / excess return profile in of 1.49 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.44).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Ratio of 2.74 in the last 5 years of Hedge Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (8.48 )
• Looking at Ulcer Index in of 1.57 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (5.31 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -5.9 days of Hedge Strategy is larger, thus better.
• During the last 3 years, the maximum DrawDown is -5.9 days, which is greater, thus better than the value of -18.8 days from the benchmark.

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 513 days in the last 5 years of Hedge Strategy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 209 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (199 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 146 days of Hedge Strategy is higher, thus worse.
• During the last 3 years, the average days below previous high is 52 days, which is larger, thus worse than the value of 46 days from the benchmark.