Hedge Strategy 2x Leverage

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return of 29.6% in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively higher, thus better in comparison to the benchmark AGG (-4%)
• Looking at total return, or performance in of 15.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (6.1%).

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.'

• The annual return (CAGR) over 5 years of Hedge Strategy 2x Leverage is 5.3%, which is larger, thus better compared to the benchmark AGG (-0.8%) in the same period.
• Looking at annual performance (CAGR) in of 4.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (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 30 days standard deviation over 5 years of Hedge Strategy 2x Leverage is 14.2%, which is higher, thus worse compared to the benchmark AGG (6%) in the same period.
• During the last 3 years, the volatility is 14.5%, which is larger, thus worse than the value of 6.9% from the benchmark.

DownVol:

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

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside risk of 9.9% of Hedge Strategy 2x Leverage is larger, thus worse.
• Looking at downside deviation in of 10% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (4.8%).

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.'

• Compared with the benchmark AGG (-0.55) in the period of the last 5 years, the Sharpe Ratio of 0.2 of Hedge Strategy 2x Leverage is higher, thus better.
• Compared with AGG (-0.07) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.16 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.'

• The excess return divided by the downside deviation over 5 years of Hedge Strategy 2x Leverage is 0.29, which is higher, thus better compared to the benchmark AGG (-0.78) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.23 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-0.1).

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.'

• Looking at the Ulcer Index of 10 in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively higher, thus worse in comparison to the benchmark AGG (9.43 )
• Looking at Downside risk index in of 8 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (3.81 ).

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 reduction from previous high over 5 years of Hedge Strategy 2x Leverage is -22.9 days, which is lower, thus worse compared to the benchmark AGG (-18.4 days) in the same period.
• Looking at maximum drop from peak to valley in of -18.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (-9.8 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 (1196 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.
• Looking at maximum time in days below previous high water mark in of 172 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (487 days).

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 under water of 161 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 (584 days)
• During the last 3 years, the average days below previous high is 58 days, which is smaller, thus better than the value of 183 days from the benchmark.