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.'

• Compared with the benchmark AGG (-2.6%) in the period of the last 5 years, the total return of 37.7% of Treasury Hedge is larger, thus better.
• Looking at total return in of 9.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-2%).

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 annual performance (CAGR) over 5 years of Treasury Hedge is 6.6%, which is larger, thus better compared to the benchmark AGG (-0.5%) in the same period.
• During the last 3 years, the annual return (CAGR) is 3.1%, which is higher, thus better than the value of -0.7% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark AGG (6.9%) in the period of the last 5 years, the volatility of 9.5% of Treasury Hedge is higher, thus worse.
• During the last 3 years, the historical 30 days volatility is 3%, which is lower, thus better than the value of 7.1% from the benchmark.

DownVol:

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

• Looking at the downside risk of 6.2% in the last 5 years of Treasury Hedge, we see it is relatively larger, thus worse in comparison to the benchmark AGG (5.1%)
• Looking at downside volatility in of 2.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (5%).

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 (-0.44) in the period of the last 5 years, the Sharpe Ratio of 0.44 of Treasury Hedge is larger, thus better.
• Looking at Sharpe Ratio in of 0.2 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-0.45).

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.'

• Looking at the ratio of annual return and downside deviation of 0.66 in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.6)
• During the last 3 years, the excess return divided by the downside deviation is 0.26, which is greater, thus better than the value of -0.64 from the benchmark.

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 (9.34 ) in the period of the last 5 years, the Downside risk index of 2.67 of Treasury Hedge is lower, thus better.
• Looking at Downside risk index in of 2.91 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (7.81 ).

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 (-18.4 days) in the period of the last 5 years, the maximum drop from peak to valley of -15.7 days of Treasury Hedge is greater, thus better.
• During the last 3 years, the maximum reduction from previous high is -9 days, which is larger, thus better than the value of -14.4 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.'

• The maximum days under water over 5 years of Treasury Hedge is 249 days, which is lower, thus better compared to the benchmark AGG (1143 days) in the same period.
• Compared with AGG (747 days) in the period of the last 3 years, the maximum days below previous high of 249 days is lower, thus better.

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.'

• The average time in days below previous high water mark over 5 years of Treasury Hedge is 52 days, which is lower, thus better compared to the benchmark AGG (535 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 76 days, which is lower, thus better than the value of 372 days from the benchmark.