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 performance over 5 years of Treasury Hedge is 24.7%, which is larger, thus better compared to the benchmark AGG (16.8%) in the same period.
• Compared with AGG (18.3%) in the period of the last 3 years, the total return of 10.9% is smaller, thus worse.

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.'

• Compared with the benchmark AGG (3.2%) in the period of the last 5 years, the annual return (CAGR) of 4.5% of Treasury Hedge is higher, thus better.
• Looking at compounded annual growth rate (CAGR) in of 3.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to AGG (5.8%).

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.'

• The 30 days standard deviation over 5 years of Treasury Hedge is 7.1%, which is greater, thus worse compared to the benchmark AGG (4.6%) in the same period.
• During the last 3 years, the historical 30 days volatility is 7.9%, which is larger, thus worse than the value of 5.5% 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.'

• The downside risk over 5 years of Treasury Hedge is 5.1%, which is greater, thus worse compared to the benchmark AGG (3.5%) in the same period.
• Looking at downside deviation in of 5.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (4.2%).

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.'

• Compared with the benchmark AGG (0.14) in the period of the last 5 years, the Sharpe Ratio of 0.29 of Treasury Hedge is larger, thus better.
• Compared with AGG (0.6) in the period of the last 3 years, the Sharpe Ratio of 0.13 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.'

• The downside risk / excess return profile over 5 years of Treasury Hedge is 0.4, which is greater, thus better compared to the benchmark AGG (0.19) in the same period.
• Compared with AGG (0.78) in the period of the last 3 years, the excess return divided by the downside deviation of 0.18 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Ratio of 4.3 in the last 5 years of Treasury Hedge, we see it is relatively larger, thus worse in comparison to the benchmark AGG (1.8 )
• Compared with AGG (1.48 ) in the period of the last 3 years, the Downside risk index of 5.45 is higher, thus worse.

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.'

• Compared with the benchmark AGG (-9.6 days) in the period of the last 5 years, the maximum reduction from previous high of -11.7 days of Treasury Hedge is lower, thus worse.
• Looking at maximum drop from peak to valley in of -11.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (-9.6 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 below previous high of 320 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (331 days)
• Compared with AGG (247 days) in the period of the last 3 years, the maximum days below previous high of 320 days is greater, thus worse.

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.'

• The average days under water over 5 years of Treasury Hedge is 72 days, which is lower, thus better compared to the benchmark AGG (104 days) in the same period.
• During the last 3 years, the average days below previous high is 94 days, which is larger, thus worse than the value of 60 days from the benchmark.