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.'

• Looking at the total return, or increase in value of 104.2% in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively greater, thus better in comparison to the benchmark AGG (0.4%)
• Compared with AGG (-8.4%) in the period of the last 3 years, the total return, or increase in value of 40.8% is greater, thus better.

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.'

• Looking at the compounded annual growth rate (CAGR) of 15.4% in the last 5 years of Hedge Strategy 2x Leverage, we see it is relatively greater, thus better in comparison to the benchmark AGG (0.1%)
• Looking at annual performance (CAGR) in of 12.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-2.9%).

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 (6.7%) in the period of the last 5 years, the volatility of 16% of Hedge Strategy 2x Leverage is greater, thus worse.
• Compared with AGG (6.8%) in the period of the last 3 years, the historical 30 days volatility of 14.3% is greater, thus worse.

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 (4.9%) in the period of the last 5 years, the downside deviation of 10.8% of Hedge Strategy 2x Leverage is higher, thus worse.
• Compared with AGG (4.9%) in the period of the last 3 years, the downside volatility of 9.6% is greater, thus worse.

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 (-0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.8 of Hedge Strategy 2x Leverage is higher, thus better.
• During the last 3 years, the Sharpe Ratio is 0.67, which is larger, thus better than the value of -0.79 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 (-0.49) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.19 of Hedge Strategy 2x Leverage is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1, which is larger, thus better than the value of -1.1 from the benchmark.

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 9.1 , which is greater, thus worse compared to the benchmark AGG (8.72 ) in the same period.
• Looking at Ulcer Ratio in of 9.67 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (11 ).

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 (-18.4 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 lower, thus worse.
• Looking at maximum reduction from previous high in of -22.9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to AGG (-17.8 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 (953 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 500 days of Hedge Strategy 2x Leverage is lower, thus better.
• During the last 3 years, the maximum days below previous high is 500 days, which is smaller, thus better than the value of 702 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.'

• Compared with the benchmark AGG (388 days) in the period of the last 5 years, the average days below previous high of 158 days of Hedge Strategy 2x Leverage is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 184 days, which is lower, thus better than the value of 334 days from the benchmark.