Hedge 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.'

• Looking at the total return, or increase in value of 48.5% in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively higher, thus better in comparison to the benchmark AGG (2%)
• Looking at total return, or increase in value in of 26% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (15.4%).

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.'

• Compared with the benchmark AGG (0.4%) in the period of the last 5 years, the annual return (CAGR) of 8.3% of Hedge Strategy 2x Leverage is higher, thus better.
• Compared with AGG (4.9%) in the period of the last 3 years, the annual performance (CAGR) of 8% is higher, thus better.

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.'

• Compared with the benchmark AGG (6%) in the period of the last 5 years, the historical 30 days volatility of 13.7% of Hedge Strategy 2x Leverage is higher, thus worse.
• During the last 3 years, the 30 days standard deviation is 13.1%, which is larger, thus worse than the value of 5.7% from the benchmark.

DownVol:

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

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside volatility of 9.5% of Hedge Strategy 2x Leverage is greater, thus worse.
• Compared with AGG (3.9%) in the period of the last 3 years, the downside deviation of 9.1% is higher, thus worse.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Hedge Strategy 2x Leverage is 0.42, which is higher, thus better compared to the benchmark AGG (-0.35) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.42, which is higher, thus better than the value of 0.42 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 downside risk / excess return profile over 5 years of Hedge Strategy 2x Leverage is 0.61, which is larger, thus better compared to the benchmark AGG (-0.5) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.61, which is lower, thus worse than the value of 0.62 from the benchmark.

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 11 in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively higher, thus worse in comparison to the benchmark AGG (8.98 )
• During the last 3 years, the Ulcer Index is 10 , which is greater, thus worse than the value of 2.24 from the benchmark.

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.'

• Looking at the maximum DrawDown of -22.9 days in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively lower, thus worse in comparison to the benchmark AGG (-17.8 days)
• During the last 3 years, the maximum drop from peak to valley is -19.1 days, which is lower, thus worse than the value of -7.4 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) in days.'

• Compared with the benchmark AGG (1146 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 500 days of Hedge Strategy 2x Leverage is smaller, thus better.
• Looking at maximum days below previous high in of 368 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (195 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 time in days below previous high water mark over 5 years of Hedge Strategy 2x Leverage is 168 days, which is smaller, thus better compared to the benchmark AGG (532 days) in the same period.
• Looking at average days below previous high in of 114 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (61 days).