Description

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 (22.6%) in the period of the last 5 years, the total return, or increase in value of 44.9% of Treasury Hedge is greater, thus better.
  • Looking at total return in of 14.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (16.2%).

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.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of 7.7% in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (4.2%)
  • Looking at annual return (CAGR) in of 4.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to AGG (5.1%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 7.4% in the last 5 years of Treasury Hedge, we see it is relatively higher, thus worse in comparison to the benchmark AGG (4.6%)
  • Compared with AGG (5.4%) in the period of the last 3 years, the volatility of 7.1% is greater, thus worse.

DownVol:

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

Which means for our asset as example:
  • The downside deviation over 5 years of Treasury Hedge is 5.1%, which is higher, thus worse compared to the benchmark AGG (3.5%) in the same period.
  • Compared with AGG (4.1%) in the period of the last 3 years, the downside volatility of 5.2% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark AGG (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.7 of Treasury Hedge is larger, thus better.
  • Compared with AGG (0.49) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.29 is smaller, 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.'

Using this definition on our asset we see for example:
  • The excess return divided by the downside deviation over 5 years of Treasury Hedge is 1.03, which is higher, thus better compared to the benchmark AGG (0.48) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 0.39, which is lower, thus worse than the value of 0.64 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of Treasury Hedge is 2.09 , which is greater, thus worse compared to the benchmark AGG (1.62 ) in the same period.
  • Looking at Downside risk index in of 2.32 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (1.4 ).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark AGG (-9.6 days) in the period of the last 5 years, the maximum DrawDown of -7.5 days of Treasury Hedge is greater, thus better.
  • During the last 3 years, the maximum drop from peak to valley is -7.5 days, which is greater, thus better 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark AGG (331 days) in the period of the last 5 years, the maximum days under water of 125 days of Treasury Hedge is lower, thus better.
  • Looking at maximum time in days below previous high water mark in of 125 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (259 days).

AveDuration:

'The Average 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. 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.'

Using this definition on our asset we see for example:
  • Looking at the average days below previous high of 36 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (94 days)
  • During the last 3 years, the average days below previous high is 40 days, which is smaller, thus better than the value of 62 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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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.