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.'

• The total return, or increase in value over 5 years of Hedge Strategy 2x Leverage is 46.6%, which is greater, thus better compared to the benchmark AGG (0.7%) in the same period.
• During the last 3 years, the total return, or performance is 14.3%, which is larger, thus better than the value of 9.8% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 8% in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively greater, thus better in comparison to the benchmark AGG (0.1%)
• During the last 3 years, the annual performance (CAGR) is 4.6%, which is larger, thus better than the value of 3.2% from the benchmark.

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.'

• The volatility over 5 years of Hedge Strategy 2x Leverage is 13.7%, which is greater, thus worse compared to the benchmark AGG (6.1%) in the same period.
• During the last 3 years, the 30 days standard deviation is 12.8%, which is higher, 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.'

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside risk of 9.5% of Hedge Strategy 2x Leverage is larger, thus worse.
• During the last 3 years, the downside volatility is 9%, which is greater, thus worse than the value of 3.9% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the Sharpe Ratio of 0.4 in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.39)
• Looking at ratio of return and volatility (Sharpe) in of 0.16 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (0.12).

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.'

• The excess return divided by the downside deviation over 5 years of Hedge Strategy 2x Leverage is 0.58, which is greater, thus better compared to the benchmark AGG (-0.55) in the same period.
• Compared with AGG (0.17) in the period of the last 3 years, the downside risk / excess return profile of 0.23 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.'

• Compared with the benchmark AGG (8.98 ) in the period of the last 5 years, the Ulcer Index of 11 of Hedge Strategy 2x Leverage is greater, thus worse.
• Looking at Ulcer Ratio in of 10 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (2.25 ).

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.'

• Looking at the maximum DrawDown of -22.9 days in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively lower, thus worse in comparison to the benchmark AGG (-17.8 days)
• 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 smaller, thus worse in comparison to AGG (-7.4 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of Hedge Strategy 2x Leverage is 500 days, which is lower, thus better compared to the benchmark AGG (1146 days) in the same period.
• Looking at maximum days below previous high in of 382 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (195 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.'

• Compared with the benchmark AGG (533 days) in the period of the last 5 years, the average days under water of 173 days of Hedge Strategy 2x Leverage is smaller, thus better.
• Looking at average days below previous high in of 121 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (61 days).