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, or increase in value over 5 years of Treasury Hedge is 61.3%, which is higher, thus better compared to the benchmark AGG (15.6%) in the same period.
• During the last 3 years, the total return is 25.2%, which is greater, thus better than the value of 6.9% from the benchmark.

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 10% in the last 5 years of Treasury Hedge, we see it is relatively higher, thus better in comparison to the benchmark AGG (2.9%)
• Compared with AGG (2.2%) in the period of the last 3 years, the annual return (CAGR) of 7.8% is higher, thus better.

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 (3%) in the period of the last 5 years, the historical 30 days volatility of 8.2% of Treasury Hedge is larger, thus worse.
• During the last 3 years, the 30 days standard deviation is 5.8%, which is greater, thus worse than the value of 2.8% 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 risk of 9.6% in the last 5 years of Treasury Hedge, we see it is relatively greater, thus worse in comparison to the benchmark AGG (3.3%)
• Compared with AGG (3%) in the period of the last 3 years, the downside deviation of 7.1% is higher, thus worse.

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.'

• The Sharpe Ratio over 5 years of Treasury Hedge is 0.92, which is greater, thus better compared to the benchmark AGG (0.14) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.91 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-0.09).

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.'

• Compared with the benchmark AGG (0.13) in the period of the last 5 years, the excess return divided by the downside deviation of 0.79 of Treasury Hedge is higher, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 0.75, which is greater, thus better than the value of -0.09 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.'

• Compared with the benchmark AGG (1.63 ) in the period of the last 5 years, the Downside risk index of 3.87 of Treasury Hedge is higher, thus worse.
• Compared with AGG (1.83 ) in the period of the last 3 years, the Ulcer Index of 1.57 is lower, thus better.

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 -14.4 days, which is lower, thus worse compared to the benchmark AGG (-4.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -4.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (-4.3 days).

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.'

• Looking at the maximum days under water of 256 days in the last 5 years of Treasury Hedge, we see it is relatively smaller, thus better in comparison to the benchmark AGG (331 days)
• Looking at maximum days under water in of 110 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (331 days).

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 (114 days) in the period of the last 5 years, the average time in days below previous high water mark of 52 days of Treasury Hedge is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 32 days, which is lower, thus better than the value of 121 days from the benchmark.