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.'

• The total return, or increase in value over 5 years of Hedge Strategy 2x Leverage is 79.5%, which is greater, thus better compared to the benchmark AGG (3.7%) in the same period.
• During the last 3 years, the total return, or performance is 13.1%, which is larger, thus better than the value of -11.2% from the benchmark.

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 AGG (0.7%) in the period of the last 5 years, the annual performance (CAGR) of 12.4% of Hedge Strategy 2x Leverage is higher, thus better.
• Looking at annual performance (CAGR) in of 4.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-3.9%).

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 30 days standard deviation over 5 years of Hedge Strategy 2x Leverage is 15.6%, which is greater, thus worse compared to the benchmark AGG (6.1%) in the same period.
• Compared with AGG (5.9%) in the period of the last 3 years, the historical 30 days volatility of 14.5% is higher, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside volatility of 10.6% in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively greater, thus worse in comparison to the benchmark AGG (4.5%)
• Looking at downside volatility in of 9.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (4.3%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark AGG (-0.29) in the period of the last 5 years, the Sharpe Ratio of 0.64 of Hedge Strategy 2x Leverage is greater, thus better.
• Compared with AGG (-1.08) in the period of the last 3 years, the Sharpe Ratio of 0.12 is larger, 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.'

• Compared with the benchmark AGG (-0.39) in the period of the last 5 years, the excess return divided by the downside deviation of 0.94 of Hedge Strategy 2x Leverage is greater, thus better.
• Compared with AGG (-1.5) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.17 is larger, thus better.

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.'

• The Downside risk index over 5 years of Hedge Strategy 2x Leverage is 8.84 , which is larger, thus worse compared to the benchmark AGG (6.59 ) in the same period.
• Looking at Ulcer Ratio in of 11 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (8.46 ).

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 AGG (-18.4 days) in the period of the last 5 years, the maximum DrawDown of -22.9 days of Hedge Strategy 2x Leverage is lower, thus worse.
• Looking at maximum drop from peak to valley in of -22.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (-18.4 days).

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.'

• Looking at the maximum days under water of 320 days in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively lower, thus better in comparison to the benchmark AGG (709 days)
• Looking at maximum time in days below previous high water mark in of 320 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (709 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.'

• Compared with the benchmark AGG (228 days) in the period of the last 5 years, the average days below previous high of 102 days of Hedge Strategy 2x Leverage is lower, thus better.
• Looking at average days under water in of 138 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (344 days).