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 over 5 years of Treasury Hedge is 48.6%, which is higher, thus better compared to the benchmark AGG (0.4%) in the same period.
• During the last 3 years, the total return, or increase in value is 13%, which is greater, thus better than the value of -8.4% 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.'

• The annual return (CAGR) over 5 years of Treasury Hedge is 8.3%, which is higher, thus better compared to the benchmark AGG (0.1%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 4.2%, which is higher, thus better than the value of -2.9% from the benchmark.

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 historical 30 days volatility over 5 years of Treasury Hedge is 10.4%, which is larger, thus worse compared to the benchmark AGG (6.7%) in the same period.
• Looking at volatility in of 3.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (6.8%).

DownVol:

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

• Looking at the downside deviation of 6.9% in the last 5 years of Treasury Hedge, we see it is relatively larger, thus worse in comparison to the benchmark AGG (4.9%)
• During the last 3 years, the downside deviation is 2.3%, which is smaller, thus better than the value of 4.9% from the benchmark.

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 (-0.36) in the period of the last 5 years, the Sharpe Ratio of 0.55 of Treasury Hedge is higher, thus better.
• Compared with AGG (-0.79) in the period of the last 3 years, the Sharpe Ratio of 0.47 is higher, thus better.

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.'

• Compared with the benchmark AGG (-0.49) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.84 of Treasury Hedge is greater, thus better.
• Looking at downside risk / excess return profile in of 0.74 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-1.1).

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 Index over 5 years of Treasury Hedge is 2.49 , which is lower, thus better compared to the benchmark AGG (8.72 ) in the same period.
• Looking at Ulcer Ratio in of 1.12 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (11 ).

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 higher, thus better compared to the benchmark AGG (-18.4 days) in the same period.
• Looking at maximum DrawDown in of -4 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-17.8 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'

• Looking at the maximum days below previous high 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 (953 days)
• During the last 3 years, the maximum days below previous high is 249 days, which is lower, thus better than the value of 702 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.'

• The average days below previous high over 5 years of Treasury Hedge is 52 days, which is lower, thus better compared to the benchmark AGG (388 days) in the same period.
• Looking at average days below previous high in of 67 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (334 days).