Hedge Strategy 2x Leverage

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark AGG (-0.8%) in the period of the last 5 years, the total return, or increase in value of 35.4% of Hedge Strategy 2x Leverage is higher, thus better.
• During the last 3 years, the total return, or performance is 22.6%, which is higher, thus better than the value of 12.3% 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 return (CAGR) of 6.3% in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.2%)
• During the last 3 years, the annual performance (CAGR) is 7.1%, which is larger, thus better than the value of 4% 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.'

• Compared with the benchmark AGG (6.1%) in the period of the last 5 years, the volatility of 13.9% of Hedge Strategy 2x Leverage is higher, thus worse.
• Looking at historical 30 days volatility in of 13.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (5.9%).

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 (4.3%) in the period of the last 5 years, the downside risk of 9.6% of Hedge Strategy 2x Leverage is larger, thus worse.
• Looking at downside deviation in of 9.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (4%).

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 (-0.44) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.27 of Hedge Strategy 2x Leverage is larger, thus better.
• Compared with AGG (0.25) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.34 is greater, thus better.

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 ratio of annual return and downside deviation over 5 years of Hedge Strategy 2x Leverage is 0.39, which is higher, thus better compared to the benchmark AGG (-0.62) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.49, which is larger, thus better than the value of 0.37 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 Downside risk index over 5 years of Hedge Strategy 2x Leverage is 11 , which is higher, thus worse compared to the benchmark AGG (8.99 ) in the same period.
• During the last 3 years, the Downside risk index is 9.72 , which is larger, thus worse than the value of 2.31 from the benchmark.

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.'

• Compared with the benchmark AGG (-17.8 days) in the period of the last 5 years, the maximum drop from peak to valley of -22.9 days of Hedge Strategy 2x Leverage is smaller, thus worse.
• 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.'

• Compared with the benchmark AGG (1114 days) in the period of the last 5 years, the maximum days below previous high of 500 days of Hedge Strategy 2x Leverage is smaller, thus better.
• During the last 3 years, the maximum days under water is 330 days, which is higher, 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.'

• The average days below previous high over 5 years of Hedge Strategy 2x Leverage is 158 days, which is smaller, thus better compared to the benchmark AGG (503 days) in the same period.
• Compared with AGG (61 days) in the period of the last 3 years, the average days below previous high of 96 days is larger, thus worse.