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.'

• Compared with the benchmark AGG (-2%) in the period of the last 5 years, the total return, or performance of 17% of Treasury Hedge is higher, thus better.
• Compared with AGG (11.4%) in the period of the last 3 years, the total return, or increase in value of 9% is smaller, thus worse.

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.'

• Looking at the annual return (CAGR) of 3.2% in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.4%)
• Looking at compounded annual growth rate (CAGR) in of 2.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (3.7%).

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.'

• Looking at the 30 days standard deviation of 3.9% in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (6.1%)
• During the last 3 years, the volatility is 3.5%, which is lower, thus better than the value of 6% from the benchmark.

DownVol:

'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.'

• Looking at the downside risk of 2.7% in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (4.3%)
• During the last 3 years, the downside deviation is 2.7%, which is smaller, thus better than the value of 4.1% from the benchmark.

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.'

• Compared with the benchmark AGG (-0.48) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.18 of Treasury Hedge is higher, thus better.
• Compared with AGG (0.2) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.12 is lower, thus worse.

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.'

• Looking at the downside risk / excess return profile of 0.26 in the last 5 years of Treasury Hedge, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.68)
• Looking at downside risk / excess return profile in of 0.16 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (0.29).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark AGG (9.24 ) in the period of the last 5 years, the Downside risk index of 3.22 of Treasury Hedge is lower, thus better.
• During the last 3 years, the Downside risk index is 4 , which is higher, thus worse than the value of 2.33 from the benchmark.

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.'

• Compared with the benchmark AGG (-18.1 days) in the period of the last 5 years, the maximum drop from peak to valley of -9 days of Treasury Hedge is higher, thus better.
• During the last 3 years, the maximum reduction from previous high is -9 days, which is lower, thus worse than the value of -7.4 days from the benchmark.

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.'

• The maximum days below previous high over 5 years of Treasury Hedge is 313 days, which is smaller, thus better compared to the benchmark AGG (1244 days) in the same period.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum days under water of 313 days is higher, 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.'

• Looking at the average time in days below previous high water mark of 91 days in the last 5 years of Treasury Hedge, we see it is relatively smaller, thus better in comparison to the benchmark AGG (620 days)
• During the last 3 years, the average days below previous high is 105 days, which is higher, thus worse than the value of 61 days from the benchmark.