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 14.1%, which is greater, thus better compared to the benchmark AGG (-2.6%) in the same period.
• Compared with AGG (13.6%) in the period of the last 3 years, the total return of 6.4% is smaller, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The compounded annual growth rate (CAGR) over 5 years of Treasury Hedge is 2.7%, which is greater, thus better compared to the benchmark AGG (-0.5%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 2.1%, which is lower, thus worse than the value of 4.4% from the benchmark.

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 (6.1%) in the period of the last 5 years, the 30 days standard deviation of 3.3% of Treasury Hedge is smaller, thus better.
• Looking at 30 days standard deviation in of 3.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (5.1%).

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 deviation of 2.4% in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (4.4%)
• During the last 3 years, the downside deviation is 2.7%, which is smaller, thus better than the value of 3.5% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of 0.05 in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.49)
• Compared with AGG (0.37) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.11 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 ratio of annual return and downside deviation of 0.08 in the last 5 years of Treasury Hedge, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.7)
• During the last 3 years, the excess return divided by the downside deviation is -0.15, which is lower, thus worse than the value of 0.53 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of Treasury Hedge is 3.91 , which is lower, thus better compared to the benchmark AGG (8.56 ) in the same period.
• Compared with AGG (1.81 ) in the period of the last 3 years, the Downside risk index of 4.95 is larger, thus worse.

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 drop from peak to valley of -9 days in the last 5 years of Treasury Hedge, we see it is relatively higher, thus better in comparison to the benchmark AGG (-17.3 days)
• Looking at maximum reduction from previous high in of -9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to AGG (-4.8 days).

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 (1067 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 521 days of Treasury Hedge is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 521 days, which is higher, thus worse than the value of 195 days from the benchmark.

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 (468 days) in the period of the last 5 years, the average time in days below previous high water mark of 171 days of Treasury Hedge is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 232 days, which is higher, thus worse than the value of 58 days from the benchmark.