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 increase in value of 22.9% in the last 5 years of Short Term Bond Strategy, we see it is relatively higher, thus better in comparison to the benchmark SHY (6.4%)
• During the last 3 years, the total return, or increase in value is 15.1%, which is larger, thus better than the value of 5.5% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 4.2% in the last 5 years of Short Term Bond Strategy, we see it is relatively larger, thus better in comparison to the benchmark SHY (1.3%)
• During the last 3 years, the annual performance (CAGR) is 4.8%, which is larger, thus better than the value of 1.8% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the 30 days standard deviation of 2% in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus worse in comparison to the benchmark SHY (1.9%)
• Looking at historical 30 days volatility in of 0.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (2.3%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 1.6%, which is larger, thus worse compared to the benchmark SHY (1.2%) in the same period.
• During the last 3 years, the downside deviation is 0.4%, which is lower, thus better than the value of 1.5% 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 0.86 in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus better in comparison to the benchmark SHY (-0.65)
• Looking at Sharpe Ratio in of 2.68 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SHY (-0.3).

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.'

• Compared with the benchmark SHY (-1.01) in the period of the last 5 years, the downside risk / excess return profile of 1.07 of Short Term Bond Strategy is greater, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 5.93, which is larger, thus better than the value of -0.46 from the benchmark.

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 Index of 0.52 in the last 5 years of Short Term Bond Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SHY (2.28 )
• Compared with SHY (1.73 ) in the period of the last 3 years, the Ulcer Index of 0.3 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.'

• The maximum DrawDown over 5 years of Short Term Bond Strategy is -5.2 days, which is greater, thus better compared to the benchmark SHY (-5.7 days) in the same period.
• Looking at maximum DrawDown in of -0.9 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SHY (-4.1 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) in days.'

• The maximum days below previous high over 5 years of Short Term Bond Strategy is 265 days, which is smaller, thus better compared to the benchmark SHY (711 days) in the same period.
• Compared with SHY (441 days) in the period of the last 3 years, the maximum days under water of 195 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.
• During the last 3 years, the average days below previous high is 52 days, which is smaller, thus better than the value of 150 days from the benchmark.