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.'

• Looking at the total return, or performance of 15.9% in the last 5 years of Treasury Hedge, we see it is relatively greater, thus better in comparison to the benchmark AGG (-1%)
• Compared with AGG (13%) in the period of the last 3 years, the total return of 6.8% is lower, 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.'

• Looking at the compounded annual growth rate (CAGR) of 3% in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.2%)
• Compared with AGG (4.2%) in the period of the last 3 years, the annual return (CAGR) of 2.2% is smaller, 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.'

• The historical 30 days volatility over 5 years of Treasury Hedge is 3.7%, which is lower, thus better compared to the benchmark AGG (6.1%) in the same period.
• During the last 3 years, the historical 30 days volatility is 3.6%, which is smaller, thus better than the value of 5.3% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 2.6% in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (4.3%)
• Looking at downside risk in of 2.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (3.6%).

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.'

• Looking at the Sharpe Ratio of 0.14 in the last 5 years of Treasury Hedge, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.44)
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.07, which is lower, thus worse than the value of 0.32 from the benchmark.

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.'

• Compared with the benchmark AGG (-0.63) in the period of the last 5 years, the excess return divided by the downside deviation of 0.19 of Treasury Hedge is larger, thus better.
• Looking at ratio of annual return and downside deviation in of -0.09 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to AGG (0.47).

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.'

• The Ulcer Ratio over 5 years of Treasury Hedge is 3.8 , which is smaller, thus better compared to the benchmark AGG (8.91 ) in the same period.
• Looking at Ulcer Ratio in of 4.79 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (1.79 ).

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.'

• The maximum drop from peak to valley over 5 years of Treasury Hedge is -9 days, which is larger, thus better compared to the benchmark AGG (-17.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -9 days, which is lower, thus worse than the value of -4.8 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark AGG (1116 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 475 days of Treasury Hedge is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 475 days, which is higher, thus worse than the value of 195 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 149 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (507 days)
• During the last 3 years, the average days under water is 203 days, which is higher, thus worse than the value of 51 days from the benchmark.