Treasury Hedge

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.'

• The total return over 5 years of Treasury Hedge is 16.3%, which is higher, thus better compared to the benchmark AGG (1.1%) in the same period.
• Compared with AGG (11.9%) in the period of the last 3 years, the total return, or increase in value of 8.3% 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.'

• Compared with the benchmark AGG (0.2%) in the period of the last 5 years, the annual performance (CAGR) of 3.1% of Treasury Hedge is higher, thus better.
• During the last 3 years, the annual performance (CAGR) is 2.7%, which is lower, thus worse than the value of 3.9% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark AGG (6.1%) in the period of the last 5 years, the volatility of 3.9% of Treasury Hedge is smaller, thus better.
• During the last 3 years, the 30 days standard deviation is 3.5%, which is lower, thus better than the value of 5.6% 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.'

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside deviation of 2.7% of Treasury Hedge is lower, thus better.
• Compared with AGG (3.8%) in the period of the last 3 years, the downside deviation of 2.7% is lower, thus better.

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 (-0.37) in the period of the last 5 years, the Sharpe Ratio of 0.15 of Treasury Hedge is higher, thus better.
• Compared with AGG (0.24) in the period of the last 3 years, the Sharpe Ratio of 0.06 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of 0.21 in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.53)
• During the last 3 years, the downside risk / excess return profile is 0.08, which is lower, thus worse than the value of 0.35 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 (8.98 ) in the period of the last 5 years, the Ulcer Ratio of 3.56 of Treasury Hedge is lower, thus better.
• Looking at Downside risk index in of 4.45 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (2.21 ).

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.'

• Looking at the maximum DrawDown of -9 days in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (-17.8 days)
• Compared with AGG (-7.2 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 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 (1146 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 395 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 395 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.'

• The average days under water over 5 years of Treasury Hedge is 118 days, which is lower, thus better compared to the benchmark AGG (531 days) in the same period.
• During the last 3 years, the average days below previous high is 154 days, which is higher, thus worse than the value of 57 days from the benchmark.