Treasury Hedge

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.'

• Looking at the total return of 49.8% in the last 5 years of Treasury Hedge, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.1%)
• Compared with AGG (-10.2%) in the period of the last 3 years, the total return, or increase in value of 13.9% is higher, thus better.

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.'

• The annual return (CAGR) over 5 years of Treasury Hedge is 8.4%, which is larger, thus better compared to the benchmark AGG (0%) in the same period.
• Looking at annual return (CAGR) in of 4.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-3.5%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The 30 days standard deviation over 5 years of Treasury Hedge is 10.4%, which is greater, thus worse compared to the benchmark AGG (6.7%) in the same period.
• Looking at volatility in of 3.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (6.8%).

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.'

• The downside deviation over 5 years of Treasury Hedge is 6.9%, which is larger, thus worse compared to the benchmark AGG (4.9%) in the same period.
• During the last 3 years, the downside risk is 2.3%, which is smaller, thus better than the value of 4.9% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of Treasury Hedge is 0.57, which is larger, thus better compared to the benchmark AGG (-0.38) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.55 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-0.89).

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 excess return divided by the downside deviation over 5 years of Treasury Hedge is 0.86, which is higher, thus better compared to the benchmark AGG (-0.51) in the same period.
• Compared with AGG (-1.24) in the period of the last 3 years, the downside risk / excess return profile of 0.86 is greater, 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 Ratio over 5 years of Treasury Hedge is 2.49 , which is lower, thus better compared to the benchmark AGG (8.6 ) in the same period.
• During the last 3 years, the Downside risk index is 1.13 , which is lower, thus better than the value of 10 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 (-18.4 days) in the period of the last 5 years, the maximum reduction from previous high of -15.7 days of Treasury Hedge is greater, thus better.
• Compared with AGG (-17.8 days) in the period of the last 3 years, the maximum reduction from previous high of -4 days is larger, 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) in days.'

• Looking at the maximum time in days below previous high water mark of 249 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (934 days)
• Looking at maximum days below previous high in of 249 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (683 days).

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 (375 days) in the period of the last 5 years, the average time in days below previous high water mark of 51 days of Treasury Hedge is smaller, thus better.
• During the last 3 years, the average time in days below previous high water mark is 66 days, which is lower, thus better than the value of 317 days from the benchmark.