Treasury Hedge

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.'

• The total return, or increase in value over 5 years of Treasury Hedge is 56.2%, which is higher, thus better compared to the benchmark AGG (16.2%) in the same period.
• Compared with AGG (10.8%) in the period of the last 3 years, the total return of 27.8% is higher, thus better.

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.'

• Compared with the benchmark AGG (3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 9.3% of Treasury Hedge is greater, thus better.
• Looking at compounded annual growth rate (CAGR) in of 8.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (3.5%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the 30 days standard deviation of 8.4% in the last 5 years of Treasury Hedge, we see it is relatively greater, thus worse in comparison to the benchmark AGG (3.1%)
• Looking at volatility in of 6.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (2.9%).

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.'

• Compared with the benchmark AGG (3.4%) in the period of the last 5 years, the downside deviation of 10.1% of Treasury Hedge is greater, thus worse.
• During the last 3 years, the downside deviation is 7.9%, which is larger, thus worse than the value of 3.1% from the benchmark.

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.'

• Compared with the benchmark AGG (0.17) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.82 of Treasury Hedge is higher, thus better.
• Compared with AGG (0.34) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.97 is higher, thus better.

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.'

• Compared with the benchmark AGG (0.16) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.68 of Treasury Hedge is higher, thus better.
• Looking at ratio of annual return and downside deviation in of 0.77 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (0.31).

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 (1.62 ) in the period of the last 5 years, the Ulcer Index of 3.92 of Treasury Hedge is greater, thus worse.
• Looking at Ulcer Ratio in of 1.69 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (1.4 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum reduction from previous high of -14.4 days in the last 5 years of Treasury Hedge, we see it is relatively smaller, thus worse in comparison to the benchmark AGG (-4.5 days)
• During the last 3 years, the maximum reduction from previous high is -7.5 days, which is lower, thus worse than the value of -3.5 days from the benchmark.

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.'

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

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 days under water of 53 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (114 days)
• Looking at average days under water in of 25 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (89 days).