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.'

• Compared with the benchmark AGG (2%) in the period of the last 5 years, the total return, or performance of 46.9% of Hedge Strategy 2x Leverage is greater, thus better.
• Looking at total return in of 30.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (16.2%).

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.'

• The annual return (CAGR) over 5 years of Hedge Strategy 2x Leverage is 8%, which is larger, thus better compared to the benchmark AGG (0.4%) in the same period.
• Compared with AGG (5.1%) in the period of the last 3 years, the annual performance (CAGR) of 9.4% is larger, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the volatility of 13.7% in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively greater, thus worse in comparison to the benchmark AGG (6%)
• Compared with AGG (5.7%) in the period of the last 3 years, the 30 days standard deviation of 13.1% is higher, thus worse.

DownVol:

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

• The downside volatility over 5 years of Hedge Strategy 2x Leverage is 9.5%, which is greater, thus worse compared to the benchmark AGG (4.3%) in the same period.
• During the last 3 years, the downside risk is 9.1%, which is higher, thus worse than the value of 3.9% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of 0.4 in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.35)
• During the last 3 years, the Sharpe Ratio is 0.52, which is higher, thus better than the value of 0.46 from the benchmark.

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.'

• Compared with the benchmark AGG (-0.5) in the period of the last 5 years, the excess return divided by the downside deviation of 0.58 of Hedge Strategy 2x Leverage is higher, thus better.
• During the last 3 years, the downside risk / excess return profile is 0.76, which is greater, thus better than the value of 0.68 from the benchmark.

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 Ulcer 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 9.99 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (2.24 ).

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.'

• Looking at the maximum DrawDown 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 (-17.8 days)
• Compared with AGG (-7.4 days) in the period of the last 3 years, the maximum DrawDown of -19.1 days is smaller, thus worse.

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.'

• Looking at the maximum days below previous high of 500 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 (1146 days)
• During the last 3 years, the maximum days under water is 362 days, which is larger, thus worse than the value of 195 days from the benchmark.

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 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 (531 days)
• Looking at average days below previous high in of 112 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (61 days).