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, or increase in value over 5 years of Treasury Hedge is 13%, which is higher, thus better compared to the benchmark AGG (-1.5%) in the same period.
• During the last 3 years, the total return is 7%, which is lower, thus worse than the value of 14.6% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of 2.5% in the last 5 years of Treasury Hedge, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.3%)
• Compared with AGG (4.7%) in the period of the last 3 years, the annual performance (CAGR) of 2.3% is smaller, thus worse.

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 3.6% in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (6.1%)
• Compared with AGG (5.3%) in the period of the last 3 years, the historical 30 days volatility of 3.6% is lower, thus better.

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 (4.3%) in the period of the last 5 years, the downside volatility of 2.6% of Treasury Hedge is lower, thus better.
• During the last 3 years, the downside risk is 2.7%, which is lower, thus better than the value of 3.6% 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 (-0.46) in the period of the last 5 years, the Sharpe Ratio of 0 of Treasury Hedge is greater, thus better.
• Compared with AGG (0.41) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.06 is smaller, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the downside risk / excess return profile of 0 in the last 5 years of Treasury Hedge, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.65)
• Compared with AGG (0.61) in the period of the last 3 years, the excess return divided by the downside deviation of -0.08 is smaller, thus worse.

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.'

• Looking at the Downside risk index of 3.82 in the last 5 years of Treasury Hedge, we see it is relatively smaller, thus better in comparison to the benchmark AGG (8.91 )
• During the last 3 years, the Ulcer Ratio is 4.82 , which is larger, thus worse than the value of 1.8 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum reduction from previous high over 5 years of Treasury Hedge is -9 days, which is larger, thus better compared to the benchmark AGG (-17.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -9 days, which is lower, thus worse than the value of -4.8 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 time in days below previous high water mark over 5 years of Treasury Hedge is 484 days, which is lower, thus better compared to the benchmark AGG (1116 days) in the same period.
• During the last 3 years, the maximum days below previous high is 484 days, which is larger, thus worse than the value of 195 days from the benchmark.

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.'

• Compared with the benchmark AGG (505 days) in the period of the last 5 years, the average days under water of 153 days of Treasury Hedge is lower, thus better.
• During the last 3 years, the average days under water is 210 days, which is larger, thus worse than the value of 53 days from the benchmark.