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.'

• The total return, or increase in value over 5 years of Treasury Hedge is 46.4%, which is higher, thus better compared to the benchmark AGG (4%) in the same period.
• Looking at total return in of 14.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-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.'

• Compared with the benchmark AGG (0.8%) in the period of the last 5 years, the annual performance (CAGR) of 7.9% of Treasury Hedge is larger, thus better.
• Looking at compounded annual growth rate (CAGR) in of 4.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-3.1%).

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.'

• Compared with the benchmark AGG (6%) in the period of the last 5 years, the historical 30 days volatility of 10.6% of Treasury Hedge is greater, thus worse.
• Looking at 30 days standard deviation in of 6.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (5.8%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Treasury Hedge is 7%, which is larger, thus worse compared to the benchmark AGG (4.5%) in the same period.
• Looking at downside volatility in of 4.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (4.2%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark AGG (-0.29) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.51 of Treasury Hedge is higher, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.34, which is higher, thus better than the value of -0.96 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.'

• The downside risk / excess return profile over 5 years of Treasury Hedge is 0.78, which is higher, thus better compared to the benchmark AGG (-0.39) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.51, which is greater, thus better than the value of -1.34 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.'

• Looking at the Ulcer Index of 2.53 in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (6.2 )
• Looking at Ulcer Ratio in of 1.7 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (7.95 ).

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.'

• Looking at the maximum drop from peak to valley of -15.7 days in the last 5 years of Treasury Hedge, we see it is relatively greater, thus better in comparison to the benchmark AGG (-18.4 days)
• Looking at maximum DrawDown in of -8.6 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-18.4 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 (668 days) in the period of the last 5 years, the maximum days below previous high of 249 days of Treasury Hedge is lower, thus better.
• Compared with AGG (668 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 249 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.'

• Looking at the average time in days below previous high water mark of 56 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (204 days)
• During the last 3 years, the average days under water is 61 days, which is smaller, thus better than the value of 309 days from the benchmark.