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.'

• The total return over 5 years of Treasury Hedge is 49.4%, which is greater, thus better compared to the benchmark AGG (1.4%) in the same period.
• Compared with AGG (-14.4%) in the period of the last 3 years, the total return, or increase in value of 13.2% 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.'

• Looking at the annual performance (CAGR) of 8.4% in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (0.3%)
• Compared with AGG (-5.1%) in the period of the last 3 years, the annual return (CAGR) of 4.2% is higher, thus better.

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 volatility of 10.6% in the last 5 years of Treasury Hedge, we see it is relatively greater, thus worse in comparison to the benchmark AGG (6.3%)
• During the last 3 years, the 30 days standard deviation is 3.7%, which is lower, thus better than the value of 6.2% from the benchmark.

DownVol:

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

• Compared with the benchmark AGG (4.7%) in the period of the last 5 years, the downside volatility of 7% of Treasury Hedge is larger, thus worse.
• Looking at downside risk in of 2.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (4.5%).

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.'

• The Sharpe Ratio over 5 years of Treasury Hedge is 0.56, which is higher, thus better compared to the benchmark AGG (-0.36) in the same period.
• Looking at Sharpe Ratio in of 0.47 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-1.22).

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.'

• The excess return divided by the downside deviation over 5 years of Treasury Hedge is 0.84, which is higher, thus better compared to the benchmark AGG (-0.48) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.72, which is larger, thus better than the value of -1.68 from the benchmark.

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.'

• Compared with the benchmark AGG (7.38 ) in the period of the last 5 years, the Ulcer Ratio of 2.52 of Treasury Hedge is lower, thus better.
• During the last 3 years, the Ulcer Index is 1.14 , which is smaller, thus better than the value of 9.18 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.'

• The maximum DrawDown over 5 years of Treasury Hedge is -15.7 days, which is greater, thus better compared to the benchmark AGG (-18.4 days) in the same period.
• Looking at maximum drop from peak to valley in of -4 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-18.1 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 time in days below previous high water mark of 249 days in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (788 days)
• Looking at maximum time in days below previous high water mark in of 249 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (684 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.'

• Compared with the benchmark AGG (277 days) in the period of the last 5 years, the average days under water of 51 days of Treasury Hedge is lower, thus better.
• Compared with AGG (315 days) in the period of the last 3 years, the average days under water of 61 days is lower, thus better.