Treasury Hedge

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 (-4.6%) in the period of the last 5 years, the total return of 30.6% of Treasury Hedge is higher, thus better.
• Looking at total return, or performance in of 9.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (5.2%).

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.'

• Compared with the benchmark AGG (-0.9%) in the period of the last 5 years, the annual return (CAGR) of 5.5% of Treasury Hedge is greater, thus better.
• During the last 3 years, the annual performance (CAGR) is 3.2%, which is higher, thus better than the value of 1.7% 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 Treasury Hedge is 4.3%, which is smaller, thus better compared to the benchmark AGG (6%) in the same period.
• Compared with AGG (6.9%) in the period of the last 3 years, the 30 days standard deviation of 2.9% is lower, thus better.

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.'

• Looking at the downside volatility of 2.8% in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (4.3%)
• During the last 3 years, the downside risk is 2.2%, which is smaller, thus better than the value of 4.7% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the risk / return profile (Sharpe) of 0.7 in the last 5 years of Treasury Hedge, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.57)
• Compared with AGG (-0.11) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.24 is larger, thus better.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark AGG (-0.8) in the period of the last 5 years, the excess return divided by the downside deviation of 1.09 of Treasury Hedge is higher, thus better.
• Looking at downside risk / excess return profile in of 0.32 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-0.17).

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 (9.47 ) in the period of the last 5 years, the Ulcer Index of 2.79 of Treasury Hedge is lower, thus better.
• During the last 3 years, the Ulcer Index is 3.42 , which is lower, thus better than the value of 3.79 from the benchmark.

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 -9 days in the last 5 years of Treasury Hedge, we see it is relatively higher, thus better in comparison to the benchmark AGG (-18.4 days)
• Compared with AGG (-9.8 days) in the period of the last 3 years, the maximum DrawDown of -9 days is greater, thus better.

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 under water over 5 years of Treasury Hedge is 249 days, which is lower, thus better compared to the benchmark AGG (1216 days) in the same period.
• Compared with AGG (487 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 181 days is lower, thus better.

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 time in days below previous high water mark over 5 years of Treasury Hedge is 61 days, which is lower, thus better compared to the benchmark AGG (600 days) in the same period.
• During the last 3 years, the average days below previous high is 45 days, which is lower, thus better than the value of 186 days from the benchmark.