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:
  • Compared with the benchmark AGG (2.6%) in the period of the last 5 years, the total return of 45.2% of Treasury Hedge is larger, thus better.
  • Looking at total return, or increase in value in of 26.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-5.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:
  • The annual return (CAGR) over 5 years of Treasury Hedge is 7.8%, which is greater, thus better compared to the benchmark AGG (0.5%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 8.2%, which is greater, thus better than the value of -2% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of Treasury Hedge is 10.6%, which is higher, thus worse compared to the benchmark AGG (5.7%) in the same period.
  • Compared with AGG (7%) in the period of the last 3 years, the historical 30 days volatility of 12.1% is higher, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside deviation of 7% in the last 5 years of Treasury Hedge, we see it is relatively higher, thus worse in comparison to the benchmark AGG (4.3%)
  • Looking at downside volatility in of 7.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (5.3%).

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.'

Which means for our asset as example:
  • Compared with the benchmark AGG (-0.35) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.5 of Treasury Hedge is higher, thus better.
  • Looking at ratio of return and volatility (Sharpe) in of 0.47 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-0.65).

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of 0.75 in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.46)
  • During the last 3 years, the ratio of annual return and downside deviation is 0.72, which is larger, thus better than the value of -0.85 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:
  • Compared with the benchmark AGG (5.3 ) in the period of the last 5 years, the Ulcer Index of 2.53 of Treasury Hedge is lower, thus better.
  • Compared with AGG (6.73 ) in the period of the last 3 years, the Downside risk index of 2.17 is lower, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:
  • Compared with the benchmark AGG (-18.4 days) in the period of the last 5 years, the maximum DrawDown of -15.7 days of Treasury Hedge is greater, thus better.
  • Compared with AGG (-18.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -15.7 days is greater, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:
  • Compared with the benchmark AGG (592 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 188 days of Treasury Hedge is smaller, thus better.
  • Compared with AGG (592 days) in the period of the last 3 years, the maximum days under water of 188 days is lower, thus better.

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.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high of 45 days in the last 5 years of Treasury Hedge, we see it is relatively smaller, thus better in comparison to the benchmark AGG (186 days)
  • Compared with AGG (251 days) in the period of the last 3 years, the average days under water of 43 days is lower, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

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.