Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • The total return, or increase in value over 5 years of Treasury Hedge is 47.5%, which is greater, thus better compared to the benchmark AGG (0%) in the same period.
  • Looking at total return, or increase in value in of 13.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-8.7%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:
  • Compared with the benchmark AGG (0%) in the period of the last 5 years, the annual performance (CAGR) of 8.1% of Treasury Hedge is larger, thus better.
  • During the last 3 years, the annual performance (CAGR) is 4.4%, which is higher, thus better than the value of -3% 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.'

Which means for our asset as example:
  • Compared with the benchmark AGG (6.7%) in the period of the last 5 years, the volatility of 10.3% of Treasury Hedge is greater, thus worse.
  • During the last 3 years, the 30 days standard deviation is 3.5%, which is lower, thus better than the value of 6.9% 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk of 6.8% in the last 5 years of Treasury Hedge, we see it is relatively larger, thus worse in comparison to the benchmark AGG (5%)
  • Looking at downside risk in of 2.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (4.9%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark AGG (-0.37) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.54 of Treasury Hedge is larger, thus better.
  • Compared with AGG (-0.79) in the period of the last 3 years, the Sharpe Ratio of 0.55 is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the excess return divided by the downside deviation of 0.83 in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.5)
  • Compared with AGG (-1.11) in the period of the last 3 years, the downside risk / excess return profile of 0.86 is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark AGG (8.94 ) in the period of the last 5 years, the Downside risk index of 2.47 of Treasury Hedge is smaller, thus better.
  • Compared with AGG (11 ) in the period of the last 3 years, the Downside risk index of 1.12 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.'

Which means for our asset as example:
  • Compared with the benchmark AGG (-18.4 days) in the period of the last 5 years, the maximum DrawDown of -15.7 days of Treasury Hedge is greater, thus better.
  • Compared with AGG (-17.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -4 days is larger, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark AGG (995 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 249 days of Treasury Hedge is lower, thus better.
  • During the last 3 years, the maximum days under water is 249 days, which is lower, thus better than the value of 744 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark AGG (417 days) in the period of the last 5 years, the average days under water of 53 days of Treasury Hedge is lower, thus better.
  • Compared with AGG (368 days) in the period of the last 3 years, the average time in days below previous high water mark of 69 days is smaller, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Treasury Hedge are hypothetical and do not account for slippage, fees or taxes.
  • Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.