Short Term Bond Strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or performance of 24.6% in the last 5 years of Short Term Bond Strategy, we see it is relatively higher, thus better in comparison to the benchmark SHY (5.6%)
• During the last 3 years, the total return, or increase in value is 15.1%, which is higher, thus better than the value of 9.3% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SHY (1.1%) in the period of the last 5 years, the annual performance (CAGR) of 4.5% of Short Term Bond Strategy is higher, thus better.
• Compared with SHY (3%) in the period of the last 3 years, the annual return (CAGR) of 4.8% is larger, thus better.

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 Short Term Bond Strategy is 1.2%, which is lower, thus better compared to the benchmark SHY (1.9%) in the same period.
• Compared with SHY (2.3%) in the period of the last 3 years, the historical 30 days volatility of 0.6% is lower, thus better.

DownVol:

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

• Looking at the downside risk of 0.8% in the last 5 years of Short Term Bond Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SHY (1.2%)
• During the last 3 years, the downside risk is 0.3%, which is smaller, thus better than the value of 1.4% 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 SHY (-0.74) in the period of the last 5 years, the Sharpe Ratio of 1.61 of Short Term Bond Strategy is higher, thus better.
• Compared with SHY (0.23) in the period of the last 3 years, the risk / return profile (Sharpe) of 3.62 is larger, 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.'

• The excess return divided by the downside deviation over 5 years of Short Term Bond Strategy is 2.53, which is higher, thus better compared to the benchmark SHY (-1.14) in the same period.
• Compared with SHY (0.37) in the period of the last 3 years, the downside risk / excess return profile of 7.53 is higher, thus better.

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 SHY (2.29 ) in the period of the last 5 years, the Downside risk index of 0.36 of Short Term Bond Strategy is smaller, thus better.
• Compared with SHY (0.93 ) in the period of the last 3 years, the Downside risk index of 0.1 is lower, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SHY (-5.7 days) in the period of the last 5 years, the maximum DrawDown of -2 days of Short Term Bond Strategy is higher, thus better.
• During the last 3 years, the maximum DrawDown is -0.4 days, which is greater, thus better than the value of -2.8 days from the benchmark.

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'

• Compared with the benchmark SHY (712 days) in the period of the last 5 years, the maximum days under water of 265 days of Short Term Bond Strategy is lower, thus better.
• Looking at maximum days under water in of 73 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (200 days).

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 under water over 5 years of Short Term Bond Strategy is 54 days, which is smaller, thus better compared to the benchmark SHY (230 days) in the same period.
• Compared with SHY (53 days) in the period of the last 3 years, the average days below previous high of 14 days is smaller, thus better.