Description

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of Treasury Hedge is 46.7%, which is greater, thus better compared to the benchmark AGG (17.9%) in the same period.
  • During the last 3 years, the total return is 25.7%, which is higher, thus better than the value of 15.5% 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.'

Using this definition on our asset we see for example:
  • The compounded annual growth rate (CAGR) over 5 years of Treasury Hedge is 8%, which is higher, thus better compared to the benchmark AGG (3.3%) in the same period.
  • Compared with AGG (4.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 7.9% is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 7.9% in the last 5 years of Treasury Hedge, we see it is relatively larger, thus worse in comparison to the benchmark AGG (4.6%)
  • During the last 3 years, the 30 days standard deviation is 6.5%, which is higher, thus worse than the value of 5.3% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 5.5% in the last 5 years of Treasury Hedge, we see it is relatively greater, thus worse in comparison to the benchmark AGG (3.5%)
  • Compared with AGG (4.1%) in the period of the last 3 years, the downside deviation of 4.6% 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.'

Which means for our asset as example:
  • Compared with the benchmark AGG (0.18) in the period of the last 5 years, the Sharpe Ratio of 0.69 of Treasury Hedge is larger, thus better.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.83, which is higher, thus better than the value of 0.46 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:
  • Looking at the excess return divided by the downside deviation of 0.99 in the last 5 years of Treasury Hedge, we see it is relatively greater, thus better in comparison to the benchmark AGG (0.24)
  • Looking at excess return divided by the downside deviation in of 1.19 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (0.59).

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.'

Using this definition on our asset we see for example:
  • Looking at the Downside risk index of 2.4 in the last 5 years of Treasury Hedge, we see it is relatively greater, thus worse in comparison to the benchmark AGG (1.7 )
  • Compared with AGG (1.57 ) in the period of the last 3 years, the Downside risk index of 1.84 is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high of -9.7 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus worse in comparison to the benchmark AGG (-9.6 days)
  • During the last 3 years, the maximum reduction from previous high is -7.5 days, which is larger, thus better than the value of -9.6 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) in days.'

Using this definition on our asset we see for example:
  • The maximum days below previous high over 5 years of Treasury Hedge is 123 days, which is lower, thus better compared to the benchmark AGG (331 days) in the same period.
  • During the last 3 years, the maximum time in days below previous high water mark is 123 days, which is lower, thus better than the value of 331 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.'

Which means for our asset as example:
  • Looking at the average days under water of 36 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (105 days)
  • Looking at average time in days below previous high water mark in of 33 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (91 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Treasury Hedge are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.