Short Term Bond Strategy

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.'

• Compared with the benchmark SHY (9.5%) in the period of the last 5 years, the total return of 23.1% of Short Term Bond Strategy is greater, thus better.
• Looking at total return in of 16.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SHY (12.9%).

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.'

• Compared with the benchmark SHY (1.8%) in the period of the last 5 years, the annual return (CAGR) of 4.3% of Short Term Bond Strategy is larger, thus better.
• Compared with SHY (4.2%) in the period of the last 3 years, the annual performance (CAGR) of 5.3% is greater, thus better.

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.'

• Looking at the 30 days standard deviation of 1% 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%)
• Looking at historical 30 days volatility in of 0.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (1.6%).

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.'

• Compared with the benchmark SHY (1.3%) in the period of the last 5 years, the downside deviation of 0.6% of Short Term Bond Strategy is lower, thus better.
• Looking at downside deviation in of 0.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (1%).

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 1.83 in the last 5 years of Short Term Bond Strategy, we see it is relatively larger, thus better in comparison to the benchmark SHY (-0.33)
• During the last 3 years, the Sharpe Ratio is 5.49, which is greater, thus better than the value of 1.03 from the benchmark.

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 downside risk / excess return profile over 5 years of Short Term Bond Strategy is 3, which is larger, thus better compared to the benchmark SHY (-0.51) in the same period.
• Looking at ratio of annual return and downside deviation in of 14 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SHY (1.69).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SHY (2.24 ) in the period of the last 5 years, the Ulcer Index of 0.35 of Short Term Bond Strategy is smaller, thus better.
• Looking at Ulcer Ratio in of 0.02 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (0.3 ).

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.'

• The maximum DrawDown over 5 years of Short Term Bond Strategy is -2 days, which is greater, thus better compared to the benchmark SHY (-5.6 days) in the same period.
• Looking at maximum reduction from previous high in of -0.2 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SHY (-1 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'

• Compared with the benchmark SHY (673 days) in the period of the last 5 years, the maximum days below previous high of 265 days of Short Term Bond Strategy is smaller, thus better.
• Looking at maximum days below previous high in of 10 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (93 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.'

• Looking at the average days under water of 64 days in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus better in comparison to the benchmark SHY (210 days)
• During the last 3 years, the average days under water is 2 days, which is lower, thus better than the value of 21 days from the benchmark.