Hedge Strategy 2x Leverage

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.'

• Compared with the benchmark AGG (-4.1%) in the period of the last 5 years, the total return, or performance of 29.8% of Hedge Strategy 2x Leverage is higher, thus better.
• During the last 3 years, the total return, or performance is 22.5%, which is greater, thus better than the value of 6.7% from the benchmark.

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 AGG (-0.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 5.4% of Hedge Strategy 2x Leverage is higher, thus better.
• Looking at annual return (CAGR) in of 7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (2.2%).

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 14.1%, which is larger, thus worse compared to the benchmark AGG (6%) in the same period.
• Looking at 30 days standard deviation in of 14.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (6.7%).

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 AGG (4.3%) in the period of the last 5 years, the downside risk of 9.8% of Hedge Strategy 2x Leverage is higher, thus worse.
• During the last 3 years, the downside risk is 9.9%, which is larger, thus worse than the value of 4.6% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Hedge Strategy 2x Leverage is 0.2, which is higher, thus better compared to the benchmark AGG (-0.56) in the same period.
• Compared with AGG (-0.04) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.32 is higher, thus better.

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 downside risk / excess return profile of 0.29 in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.78)
• During the last 3 years, the downside risk / excess return profile is 0.46, which is higher, thus better than the value of -0.07 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 Index over 5 years of Hedge Strategy 2x Leverage is 11 , which is higher, thus worse compared to the benchmark AGG (9.5 ) in the same period.
• Looking at Downside risk index in of 8.22 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (3.79 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -22.9 days in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively smaller, thus worse in comparison to the benchmark AGG (-18.4 days)
• During the last 3 years, the maximum DrawDown is -19.1 days, which is lower, thus worse than the value of -9.8 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.'

• The maximum days under water over 5 years of Hedge Strategy 2x Leverage is 500 days, which is lower, thus better compared to the benchmark AGG (1233 days) in the same period.
• Looking at maximum days below previous high in of 198 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (487 days).

AveDuration:

'The Average 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. 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.'

• Looking at the average days below previous high of 166 days in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively smaller, thus better in comparison to the benchmark AGG (614 days)
• Looking at average time in days below previous high water mark in of 59 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (190 days).