Hedge Strategy 2x Leverage

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark AGG (1.1%) in the period of the last 5 years, the total return of 44.4% of Hedge Strategy 2x Leverage is larger, thus better.
• Looking at total return, or performance in of 15.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (12%).

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.'

• The annual return (CAGR) over 5 years of Hedge Strategy 2x Leverage is 7.7%, which is larger, thus better compared to the benchmark AGG (0.2%) in the same period.
• During the last 3 years, the annual return (CAGR) is 5%, which is larger, thus better than the value of 3.9% 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.'

• The historical 30 days volatility over 5 years of Hedge Strategy 2x Leverage is 13.7%, which is higher, thus worse compared to the benchmark AGG (6.1%) in the same period.
• During the last 3 years, the volatility is 12.6%, which is higher, thus worse than the value of 5.6% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of Hedge Strategy 2x Leverage is 9.4%, which is greater, thus worse compared to the benchmark AGG (4.3%) in the same period.
• Compared with AGG (3.8%) in the period of the last 3 years, the downside volatility of 8.9% is larger, 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.'

• Looking at the risk / return profile (Sharpe) of 0.38 in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.38)
• Looking at risk / return profile (Sharpe) in of 0.19 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (0.25).

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.'

• Looking at the excess return divided by the downside deviation of 0.55 in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.53)
• Looking at excess return divided by the downside deviation in of 0.28 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (0.36).

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.'

• Looking at the Ulcer Ratio of 11 in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively larger, thus worse in comparison to the benchmark AGG (8.98 )
• During the last 3 years, the Downside risk index is 10 , which is higher, thus worse than the value of 2.21 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.'

• The maximum drop from peak to valley over 5 years of Hedge Strategy 2x Leverage is -22.9 days, which is lower, thus worse compared to the benchmark AGG (-17.8 days) in the same period.
• Looking at maximum DrawDown in of -19.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (-7.2 days).

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 lower, thus better.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 399 days is greater, 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 Hedge Strategy 2x Leverage is 178 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 130 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (57 days).