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 (5.6%) in the period of the last 5 years, the total return, or increase in value of 24% of Short Term Bond Strategy is higher, thus better.
• During the last 3 years, the total return, or increase in value is 15.6%, which is larger, thus better than the value of 9% 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.'

• Looking at the annual performance (CAGR) of 4.4% in the last 5 years of Short Term Bond Strategy, we see it is relatively higher, thus better in comparison to the benchmark SHY (1.1%)
• Looking at annual return (CAGR) in of 5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SHY (2.9%).

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 historical 30 days volatility of 1.2% in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus better in comparison to the benchmark SHY (1.9%)
• Looking at volatility in of 0.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (2.3%).

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 deviation over 5 years of Short Term Bond Strategy is 0.8%, which is lower, thus better compared to the benchmark SHY (1.2%) in the same period.
• Compared with SHY (1.4%) in the period of the last 3 years, the downside risk of 0.3% is lower, thus better.

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.'

• Compared with the benchmark SHY (-0.74) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.54 of Short Term Bond Strategy is greater, thus better.
• Compared with SHY (0.19) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 3.97 is higher, 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.'

• Looking at the downside risk / excess return profile of 2.42 in the last 5 years of Short Term Bond Strategy, we see it is relatively larger, thus better in comparison to the benchmark SHY (-1.13)
• Compared with SHY (0.3) in the period of the last 3 years, the ratio of annual return and downside deviation of 8.44 is greater, 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.
• During the last 3 years, the Ulcer Index is 0.09 , which is lower, thus better than the value of 0.81 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.'

• 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 higher, thus better.
• 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). 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'

• Looking at the maximum days under water of 265 days in the last 5 years of Short Term Bond Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SHY (712 days)
• Looking at maximum days under water in of 54 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (155 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 54 days in the last 5 years of Short Term Bond Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SHY (231 days)
• Compared with SHY (42 days) in the period of the last 3 years, the average time in days below previous high water mark of 10 days is smaller, thus better.