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.'

• Looking at the total return, or increase in value of 17.7% in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (17%)
• Looking at total return, or increase in value in of 0.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (12.2%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The compounded annual growth rate (CAGR) over 5 years of Treasury Hedge is 3.3%, which is higher, thus better compared to the benchmark AGG (3.2%) in the same period.
• Compared with AGG (3.9%) in the period of the last 3 years, the annual performance (CAGR) of 0.1% is lower, thus worse.

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.'

• Compared with the benchmark AGG (4.7%) in the period of the last 5 years, the volatility of 7.6% of Treasury Hedge is higher, thus worse.
• Looking at 30 days standard deviation in of 8.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (5.6%).

DownVol:

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

• Looking at the downside deviation of 5.5% in the last 5 years of Treasury Hedge, we see it is relatively larger, thus worse in comparison to the benchmark AGG (3.5%)
• Compared with AGG (4.3%) in the period of the last 3 years, the downside deviation of 6.4% is higher, thus worse.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Treasury Hedge is 0.11, which is lower, thus worse compared to the benchmark AGG (0.15) in the same period.
• Compared with AGG (0.25) in the period of the last 3 years, the Sharpe Ratio of -0.29 is lower, thus worse.

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.'

• Looking at the ratio of annual return and downside deviation of 0.15 in the last 5 years of Treasury Hedge, we see it is relatively lower, thus worse in comparison to the benchmark AGG (0.19)
• During the last 3 years, the ratio of annual return and downside deviation is -0.38, which is smaller, thus worse than the value of 0.33 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.'

• The Ulcer Ratio over 5 years of Treasury Hedge is 4.83 , which is larger, thus worse compared to the benchmark AGG (1.67 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 6.07 , which is greater, thus worse than the value of 1.69 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.'

• Looking at the maximum DrawDown of -12.9 days in the last 5 years of Treasury Hedge, we see it is relatively smaller, thus worse in comparison to the benchmark AGG (-9.6 days)
• During the last 3 years, the maximum DrawDown is -12.9 days, which is lower, thus worse than the value of -9.6 days from the benchmark.

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.'

• Looking at the maximum days below previous high of 445 days in the last 5 years of Treasury Hedge, we see it is relatively greater, thus worse in comparison to the benchmark AGG (372 days)
• Looking at maximum days below previous high in of 445 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (372 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.'

• Looking at the average time in days below previous high water mark of 109 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (116 days)
• During the last 3 years, the average time in days below previous high water mark is 158 days, which is greater, thus worse than the value of 113 days from the benchmark.