Statistics (YTD)

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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.'

Which means for our asset as example:
  • Compared with the benchmark AGG (21.9%) in the period of the last 5 years, the total return of 35.9% of Treasury Hedge is larger, thus better.
  • Compared with AGG (16.4%) in the period of the last 3 years, the total return, or performance of 7.5% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The annual performance (CAGR) over 5 years of Treasury Hedge is 6.3%, which is larger, thus better compared to the benchmark AGG (4%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is 2.4%, which is smaller, thus worse than the value of 5.2% 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.'

Applying this definition to our asset in some examples:
  • Looking at the historical 30 days volatility of 7.5% in the last 5 years of Treasury Hedge, we see it is relatively higher, thus worse in comparison to the benchmark AGG (4.6%)
  • Looking at 30 days standard deviation in of 7.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (5.4%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark AGG (3.5%) in the period of the last 5 years, the downside deviation of 5.2% of Treasury Hedge is greater, thus worse.
  • Looking at downside risk in of 5.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (4.1%).

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 0.51 in the last 5 years of Treasury Hedge, we see it is relatively greater, thus better in comparison to the benchmark AGG (0.34)
  • During the last 3 years, the Sharpe Ratio is -0.01, which is smaller, thus worse than the value of 0.5 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark AGG (0.44) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.73 of Treasury Hedge is greater, thus better.
  • Looking at excess return divided by the downside deviation in of -0.01 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (0.65).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark AGG (1.63 ) in the period of the last 5 years, the Ulcer Index of 3.01 of Treasury Hedge is greater, thus worse.
  • During the last 3 years, the Downside risk index is 3.65 , which is greater, thus worse than the value of 1.21 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -10.9 days in the last 5 years of Treasury Hedge, we see it is relatively smaller, thus worse in comparison to the benchmark AGG (-9.6 days)
  • Compared with AGG (-9.6 days) in the period of the last 3 years, the maximum DrawDown of -10.9 days is lower, thus worse.

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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of Treasury Hedge is 187 days, which is smaller, thus better compared to the benchmark AGG (331 days) in the same period.
  • During the last 3 years, the maximum days under water is 187 days, which is smaller, thus better than the value of 233 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.'

Which means for our asset as example:
  • The average time in days below previous high water mark over 5 years of Treasury Hedge is 45 days, which is lower, thus better compared to the benchmark AGG (97 days) in the same period.
  • Compared with AGG (60 days) in the period of the last 3 years, the average days under water of 49 days is lower, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

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