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 29.6%, which is higher, thus better compared to the benchmark AGG (-3.9%) in the same period.
• Compared with AGG (4.8%) in the period of the last 3 years, the total return, or increase in value of 16.3% is higher, thus better.

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 compounded annual growth rate (CAGR) over 5 years of Hedge Strategy 2x Leverage is 5.3%, which is greater, thus better compared to the benchmark AGG (-0.8%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.2%, which is higher, thus better than the value of 1.6% from the benchmark.

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 volatility over 5 years of Hedge Strategy 2x Leverage is 14.2%, which is greater, thus worse compared to the benchmark AGG (6%) in the same period.
• Looking at historical 30 days volatility in of 14.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (7%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (4.2%) in the period of the last 5 years, the downside volatility of 9.9% of Hedge Strategy 2x Leverage is larger, thus worse.
• Compared with AGG (4.8%) in the period of the last 3 years, the downside risk of 10% is larger, thus worse.

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.'

• Compared with the benchmark AGG (-0.55) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.2 of Hedge Strategy 2x Leverage is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.19, which is larger, thus better than the value of -0.13 from the benchmark.

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.'

• Compared with the benchmark AGG (-0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.29 of Hedge Strategy 2x Leverage is greater, thus better.
• Compared with AGG (-0.19) in the period of the last 3 years, the excess return divided by the downside deviation of 0.27 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.'

• The Ulcer Index over 5 years of Hedge Strategy 2x Leverage is 10 , which is larger, thus worse compared to the benchmark AGG (9.41 ) in the same period.
• Looking at Ulcer Ratio in of 8.06 in the period of the last 3 years, we see it is relatively higher, 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.'

• Looking at the maximum drop from peak to valley 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 (-18.4 days)
• During the last 3 years, the maximum drop from peak to valley is -18.9 days, which is smaller, thus worse than the value of -9.8 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). 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 time in days below previous high water mark over 5 years of Hedge Strategy 2x Leverage is 500 days, which is smaller, thus better compared to the benchmark AGG (1187 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 183 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 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 below previous high over 5 years of Hedge Strategy 2x Leverage is 159 days, which is lower, thus better compared to the benchmark AGG (574 days) in the same period.
• Looking at average time in days below previous high water mark in of 59 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (181 days).