Short Term Bond Strategy

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.'

• Compared with the benchmark SHY (8%) in the period of the last 5 years, the total return, or performance of 25.6% of Short Term Bond Strategy is larger, thus better.
• During the last 3 years, the total return is 17.9%, which is higher, thus better than the value of 13.2% 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.'

• The annual return (CAGR) over 5 years of Short Term Bond Strategy is 4.7%, which is higher, thus better compared to the benchmark SHY (1.6%) in the same period.
• Compared with SHY (4.2%) in the period of the last 3 years, the annual performance (CAGR) of 5.7% is higher, 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 30 days standard deviation 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.
• During the last 3 years, the historical 30 days volatility is 0.6%, which is lower, thus better than the value of 2.1% from the benchmark.

DownVol:

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

• The downside risk over 5 years of Short Term Bond Strategy is 0.8%, which is lower, thus better compared to the benchmark SHY (1.3%) in the same period.
• Looking at downside risk in of 0.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (1.2%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of Short Term Bond Strategy is 1.77, which is greater, thus better compared to the benchmark SHY (-0.48) in the same period.
• Looking at Sharpe Ratio in of 5.43 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SHY (0.84).

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.'

• Looking at the ratio of annual return and downside deviation of 2.78 in the last 5 years of Short Term Bond Strategy, we see it is relatively higher, thus better in comparison to the benchmark SHY (-0.75)
• Looking at excess return divided by the downside deviation in of 13 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SHY (1.41).

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 Short Term Bond Strategy is 0.36 , which is lower, thus better compared to the benchmark SHY (2.29 ) in the same period.
• During the last 3 years, the Downside risk index is 0.03 , which is smaller, thus better than the value of 0.5 from the benchmark.

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.'

• Compared with the benchmark SHY (-5.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -2 days of Short Term Bond Strategy is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -0.2 days, which is larger, thus better than the value of -1.6 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'

• The maximum days under water over 5 years of Short Term Bond Strategy is 265 days, which is lower, thus better compared to the benchmark SHY (712 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 10 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (126 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.'

• Compared with the benchmark SHY (229 days) in the period of the last 5 years, the average days under water of 57 days of Short Term Bond Strategy is lower, thus better.
• Compared with SHY (26 days) in the period of the last 3 years, the average days below previous high of 3 days is lower, thus better.