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 20.7%, which is greater, thus better compared to the benchmark AGG (-1.9%) in the same period.
• Compared with AGG (15.2%) in the period of the last 3 years, the total return of 11.7% is lower, thus worse.

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 3.8% in the last 5 years of Treasury Hedge, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.4%)
• During the last 3 years, the annual performance (CAGR) is 3.8%, which is smaller, thus worse than the value of 4.9% from the benchmark.

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 historical 30 days volatility of 3.8% in the last 5 years of Treasury Hedge, we see it is relatively smaller, thus better in comparison to the benchmark AGG (6.1%)
• During the last 3 years, the historical 30 days volatility is 3.2%, which is lower, thus better than the value of 6.1% 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.'

• Looking at the downside risk of 2.6% in the last 5 years of Treasury Hedge, we see it is relatively lower, thus better in comparison to the benchmark AGG (4.3%)
• Looking at downside risk in of 2.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (4.1%).

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 (-0.48) in the period of the last 5 years, the Sharpe Ratio of 0.36 of Treasury Hedge is greater, thus better.
• Looking at risk / return profile (Sharpe) in of 0.4 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (0.39).

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 (-0.67) in the period of the last 5 years, the downside risk / excess return profile of 0.51 of Treasury Hedge is greater, thus better.
• Looking at ratio of annual return and downside deviation in of 0.53 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to AGG (0.57).

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.'

• The Ulcer Ratio over 5 years of Treasury Hedge is 3.16 , which is lower, thus better compared to the benchmark AGG (9.23 ) in the same period.
• Looking at Ulcer Ratio in of 3.93 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (2.33 ).

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.'

• Looking at the maximum drop from peak to valley of -9 days in the last 5 years of Treasury Hedge, we see it is relatively greater, thus better in comparison to the benchmark AGG (-18.1 days)
• Looking at maximum DrawDown in of -9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to AGG (-7.4 days).

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum time in days below previous high water mark over 5 years of Treasury Hedge is 298 days, which is lower, thus better compared to the benchmark AGG (1229 days) in the same period.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 298 days is higher, thus worse.

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 (603 days) in the period of the last 5 years, the average days under water of 86 days of Treasury Hedge is smaller, thus better.
• During the last 3 years, the average days below previous high is 98 days, which is larger, thus worse than the value of 61 days from the benchmark.