Treasury Hedge

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of 15% in the last 5 years of Treasury Hedge, we see it is relatively greater, thus better in comparison to the benchmark AGG (-1%)
• Looking at total return in of 6.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (13.1%).

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 2.8%, which is higher, thus better compared to the benchmark AGG (-0.2%) in the same period.
• Compared with AGG (4.2%) in the period of the last 3 years, the annual return (CAGR) of 2.3% is lower, 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.'

• Looking at the historical 30 days volatility of 3.7% in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (6.1%)
• Compared with AGG (5.3%) in the period of the last 3 years, the historical 30 days volatility of 3.6% is smaller, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside volatility 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%)
• Compared with AGG (3.6%) 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Treasury Hedge is 0.09, which is higher, thus better compared to the benchmark AGG (-0.44) in the same period.
• Compared with AGG (0.32) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.07 is smaller, thus worse.

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 (-0.62) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.13 of Treasury Hedge is greater, 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 lower, thus worse in comparison to AGG (0.47).

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 (8.91 ) in the period of the last 5 years, the Downside risk index of 3.8 of Treasury Hedge is lower, thus better.
• Compared with AGG (1.81 ) in the period of the last 3 years, the Downside risk index of 4.78 is larger, thus worse.

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.'

• Compared with the benchmark AGG (-17.7 days) in the period of the last 5 years, the maximum DrawDown of -9 days of Treasury Hedge is higher, thus better.
• During the last 3 years, the maximum DrawDown is -9 days, which is lower, thus worse than the value of -5 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'

• Looking at the maximum days under water of 474 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (1116 days)
• Looking at maximum days under water in of 474 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (195 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 (506 days) in the period of the last 5 years, the average time in days below previous high water mark of 149 days of Treasury Hedge is smaller, thus better.
• Compared with AGG (52 days) in the period of the last 3 years, the average days below previous high of 202 days is greater, thus worse.