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.'

• Looking at the total return, or performance of 44.9% in the last 5 years of Hedge Strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (71.7%)
• Compared with SPY (45.2%) in the period of the last 3 years, the total return, or increase in value of 15.9% is lower, 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.'

• Compared with the benchmark SPY (11.4%) in the period of the last 5 years, the annual return (CAGR) of 7.7% of Hedge Strategy is lower, thus worse.
• Compared with SPY (13.2%) in the period of the last 3 years, the annual performance (CAGR) of 5% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the volatility of 8.4% of Hedge Strategy is smaller, thus better.
• Looking at 30 days standard deviation in of 6.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.9%).

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.'

• The downside deviation over 5 years of Hedge Strategy is 9.9%, which is smaller, thus better compared to the benchmark SPY (14.9%) in the same period.
• Looking at downside deviation in of 8.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.6%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.66) in the period of the last 5 years, the Sharpe Ratio of 0.62 of Hedge Strategy is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.39 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.83).

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.'

• The downside risk / excess return profile over 5 years of Hedge Strategy is 0.53, which is lower, thus worse compared to the benchmark SPY (0.6) in the same period.
• Compared with SPY (0.74) in the period of the last 3 years, the excess return divided by the downside deviation of 0.3 is lower, thus worse.

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.'

• Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Index of 3.02 of Hedge Strategy is lower, thus better.
• Looking at Downside risk index in of 2.03 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (4.1 ).

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 DrawDown of -8.6 days in the last 5 years of Hedge Strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (-19.3 days)
• During the last 3 years, the maximum reduction from previous high is -7.5 days, which is larger, thus better than the value of -19.3 days from the benchmark.

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 (187 days) in the period of the last 5 years, the maximum days under water of 239 days of Hedge Strategy is higher, thus worse.
• During the last 3 years, the maximum days under water is 132 days, which is smaller, thus better than the value of 139 days from the benchmark.

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 Hedge Strategy is 61 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
• Looking at average days under water in of 35 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (35 days).