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.'

• The total return over 5 years of Hedge Strategy 2x Leverage is 45.7%, which is higher, thus better compared to the benchmark AGG (1.6%) in the same period.
• Looking at total return in of 15.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (12.8%).

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 7.8%, which is greater, thus better compared to the benchmark AGG (0.3%) in the same period.
• Compared with AGG (4.1%) in the period of the last 3 years, the annual performance (CAGR) of 4.9% is greater, thus better.

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 13.7%, which is larger, thus worse compared to the benchmark AGG (6.1%) in the same period.
• During the last 3 years, the historical 30 days volatility is 12.7%, which is greater, thus worse than the value of 5.6% from the benchmark.

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.'

• Looking at the downside deviation of 9.4% in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively larger, thus worse in comparison to the benchmark AGG (4.3%)
• Looking at downside volatility in of 8.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (3.8%).

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.'

• The risk / return profile (Sharpe) over 5 years of Hedge Strategy 2x Leverage is 0.39, which is greater, thus better compared to the benchmark AGG (-0.36) in the same period.
• Compared with AGG (0.29) in the period of the last 3 years, the Sharpe Ratio of 0.19 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the ratio of annual return and downside deviation of 0.57 in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.51)
• Looking at downside risk / excess return profile in of 0.27 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (0.42).

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 11 , which is larger, thus worse compared to the benchmark AGG (8.98 ) in the same period.
• Looking at Ulcer Ratio in of 10 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (2.2 ).

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.'

• Compared with the benchmark AGG (-17.8 days) in the period of the last 5 years, the maximum reduction from previous high of -22.9 days of Hedge Strategy 2x Leverage is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -19.1 days, which is smaller, thus worse than the value of -7.2 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.'

• The maximum days below previous high over 5 years of Hedge Strategy 2x Leverage is 500 days, which is smaller, thus better compared to the benchmark AGG (1146 days) in the same period.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 397 days is larger, 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.'

• Looking at the average days below previous high of 177 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 (532 days)
• During the last 3 years, the average days below previous high is 128 days, which is greater, thus worse than the value of 57 days from the benchmark.