At the end of September ZEGA’s Buy and Hedge Retirement continued to hold up well on a 3- and 5-year comparison on an annualized return basis.
It also continues to be among the top 2 in Sharpe Ratio at that same time. Sharpe measures produce a risk adjusted return calculation that considers volatility of returns. The 1-year lookback has fallen behind its peers for all but one. We previously published an article explaining the short duration fixed income component negatively affecting performance.
That same piece that you can check out here explains the opportunity to incorporate short duration US Treasuries as a result in the increase in rates that further manages risk.
You can reach out to a member of the ZEGA team for more extensive information on our Buy and Hedge Strategies.