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, or increase in value over 5 years of Hedge Strategy 2x Leverage is 30.2%, which is greater, thus better compared to the benchmark AGG (-1.9%) in the same period.
• Compared with AGG (14.7%) in the period of the last 3 years, the total return, or increase in value of 31.8% is larger, thus better.

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 5.4% of Hedge Strategy 2x Leverage is larger, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 9.7%, which is greater, thus better than the value of 4.7% from the benchmark.

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 (6.1%) in the period of the last 5 years, the volatility of 14% of Hedge Strategy 2x Leverage is higher, thus worse.
• Compared with AGG (6.1%) in the period of the last 3 years, the 30 days standard deviation of 13.6% is greater, thus worse.

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.'

• The downside volatility over 5 years of Hedge Strategy 2x Leverage is 9.7%, which is greater, thus worse compared to the benchmark AGG (4.3%) in the same period.
• Looking at downside risk in of 9.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (4.1%).

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 Sharpe Ratio over 5 years of Hedge Strategy 2x Leverage is 0.21, which is greater, thus better compared to the benchmark AGG (-0.48) in the same period.
• Compared with AGG (0.36) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.53 is larger, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the excess return divided by the downside deviation of 0.3 in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.68)
• Compared with AGG (0.54) in the period of the last 3 years, the excess return divided by the downside deviation of 0.76 is higher, thus better.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark AGG (9.24 ) in the period of the last 5 years, the Downside risk index of 11 of Hedge Strategy 2x Leverage is larger, thus worse.
• Looking at Downside risk index in of 9.33 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (2.33 ).

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.'

• The maximum DrawDown over 5 years of Hedge Strategy 2x Leverage is -22.9 days, which is lower, thus worse compared to the benchmark AGG (-18.1 days) in the same period.
• Looking at maximum reduction from previous high 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 (-7.4 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.'

• Compared with the benchmark AGG (1226 days) in the period of the last 5 years, the maximum days below previous high 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 days under water of 295 days is greater, thus worse.

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.'

• The average days under water over 5 years of Hedge Strategy 2x Leverage is 154 days, which is lower, thus better compared to the benchmark AGG (602 days) in the same period.
• During the last 3 years, the average days under water is 82 days, which is higher, thus worse than the value of 61 days from the benchmark.