Hedge Strategy

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.'

• Looking at the total return, or performance of 44.8% in the last 5 years of Hedge Strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (95.4%)
• Compared with SPY (46.9%) in the period of the last 3 years, the total return, or increase in value of 18.2% is lower, thus worse.

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.'

• Compared with the benchmark SPY (14.4%) in the period of the last 5 years, the annual return (CAGR) of 7.7% of Hedge Strategy is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.8%, which is lower, thus worse than the value of 13.7% from the benchmark.

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 (21%) in the period of the last 5 years, the historical 30 days volatility of 7.3% of Hedge Strategy is lower, thus better.
• Compared with SPY (17.2%) in the period of the last 3 years, the 30 days standard deviation of 4.9% is smaller, thus better.

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 volatility over 5 years of Hedge Strategy is 5%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
• During the last 3 years, the downside deviation is 3.5%, which is lower, thus better than the value of 11.9% from the benchmark.

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 (0.57) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.72 of Hedge Strategy is higher, thus better.
• Looking at Sharpe Ratio in of 0.67 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.66).

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 excess return divided by the downside deviation of 1.03 in the last 5 years of Hedge Strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.79)
• During the last 3 years, the ratio of annual return and downside deviation is 0.94, which is larger, thus better than the value of 0.94 from the benchmark.

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 Hedge Strategy is 2.83 , which is lower, thus better compared to the benchmark SPY (9.29 ) in the same period.
• During the last 3 years, the Downside risk index is 3.16 , which is lower, thus better than the value of 8.57 from the benchmark.

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 (-33.4 days) in the period of the last 5 years, the maximum reduction from previous high of -10.8 days of Hedge Strategy is larger, thus better.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -5.9 days is larger, thus better.

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) in days.'

• The maximum time in days below previous high water mark over 5 years of Hedge Strategy is 513 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 513 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (325 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 Hedge Strategy is 145 days, which is larger, thus worse compared to the benchmark SPY (121 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 195 days, which is larger, thus worse than the value of 90 days from the benchmark.