Treasury Hedge

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of Treasury Hedge is 14.4%, which is higher, thus better compared to the benchmark AGG (-3.3%) in the same period.
• Compared with AGG (13.6%) in the period of the last 3 years, the total return, or increase in value of 6.5% is smaller, thus worse.

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 (-0.7%) in the period of the last 5 years, the annual performance (CAGR) of 2.7% of Treasury Hedge is higher, thus better.
• During the last 3 years, the annual return (CAGR) is 2.1%, which is smaller, thus worse than the value of 4.3% 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.'

• Looking at the 30 days standard deviation of 3.5% in the last 5 years of Treasury Hedge, we see it is relatively smaller, thus better in comparison to the benchmark AGG (6.1%)
• Looking at historical 30 days volatility in of 3.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (5.2%).

DownVol:

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

• The downside volatility over 5 years of Treasury Hedge is 2.5%, which is lower, thus better compared to the benchmark AGG (4.4%) in the same period.
• Compared with AGG (3.6%) in the period of the last 3 years, the downside risk of 2.7% is lower, thus better.

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 0.07 in the last 5 years of Treasury Hedge, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.52)
• During the last 3 years, the Sharpe Ratio is -0.11, which is lower, thus worse than the value of 0.35 from the benchmark.

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.'

• The excess return divided by the downside deviation over 5 years of Treasury Hedge is 0.09, which is larger, thus better compared to the benchmark AGG (-0.73) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is -0.14, which is smaller, thus worse than the value of 0.52 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.'

• Compared with the benchmark AGG (8.55 ) in the period of the last 5 years, the Ulcer Index of 3.89 of Treasury Hedge is smaller, thus better.
• During the last 3 years, the Downside risk index is 4.92 , which is larger, thus worse than the value of 1.77 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.'

• Compared with the benchmark AGG (-17.3 days) in the period of the last 5 years, the maximum reduction from previous high of -9 days of Treasury Hedge is larger, thus better.
• Compared with AGG (-4.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -9 days is lower, thus worse.

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.'

• Compared with the benchmark AGG (1067 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 513 days of Treasury Hedge is lower, thus better.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum days under water of 513 days is greater, thus worse.

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 (466 days) in the period of the last 5 years, the average days below previous high of 167 days of Treasury Hedge is smaller, thus better.
• Looking at average days under water in of 228 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (56 days).