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.'

• The total return over 5 years of Short Term Bond Strategy is 24.1%, which is larger, thus better compared to the benchmark SHY (6.1%) in the same period.
• Compared with SHY (10.4%) in the period of the last 3 years, the total return, or performance of 16.5% is larger, thus better.

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 (1.2%) in the period of the last 5 years, the annual return (CAGR) of 4.4% of Short Term Bond Strategy is larger, thus better.
• During the last 3 years, the annual return (CAGR) is 5.2%, which is higher, thus better than the value of 3.4% 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.'

• Compared with the benchmark SHY (1.9%) in the period of the last 5 years, the volatility of 1.2% of Short Term Bond Strategy is lower, thus better.
• Looking at 30 days standard deviation in of 0.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (2.2%).

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.'

• The downside volatility over 5 years of Short Term Bond Strategy is 0.8%, which is smaller, thus better compared to the benchmark SHY (1.2%) in the same period.
• During the last 3 years, the downside deviation is 0.3%, which is lower, thus better than the value of 1.4% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 1.56 in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus better in comparison to the benchmark SHY (-0.68)
• Looking at risk / return profile (Sharpe) in of 4.48 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SHY (0.39).

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 ratio of annual return and downside deviation over 5 years of Short Term Bond Strategy is 2.45, which is greater, thus better compared to the benchmark SHY (-1.05) in the same period.
• Compared with SHY (0.64) in the period of the last 3 years, the ratio of annual return and downside deviation of 10 is larger, 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.'

• Looking at the Ulcer Ratio of 0.36 in the last 5 years of Short Term Bond Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SHY (2.29 )
• During the last 3 years, the Ulcer Ratio is 0.08 , which is smaller, thus better than the value of 0.8 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -2 days in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus better in comparison to the benchmark SHY (-5.7 days)
• Looking at maximum drop from peak to valley in of -0.4 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SHY (-2.5 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) in days.'

• 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 smaller, thus better.
• Compared with SHY (155 days) in the period of the last 3 years, the maximum days below previous high of 54 days is lower, thus better.

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 (230 days) in the period of the last 5 years, the average days under water of 54 days of Short Term Bond Strategy is lower, thus better.
• Compared with SHY (42 days) in the period of the last 3 years, the average time in days below previous high water mark of 7 days is lower, thus better.