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 (9.1%) in the period of the last 5 years, the total return of 23% of Short Term Bond Strategy is greater, thus better.
• During the last 3 years, the total return, or performance is 16.5%, which is larger, thus better than the value of 12.5% 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 4.2% in the last 5 years of Short Term Bond Strategy, we see it is relatively larger, thus better in comparison to the benchmark SHY (1.8%)
• Looking at compounded annual growth rate (CAGR) in of 5.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SHY (4%).

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.'

• Compared with the benchmark SHY (2%) in the period of the last 5 years, the 30 days standard deviation of 1% of Short Term Bond Strategy is lower, thus better.
• Compared with SHY (1.6%) in the period of the last 3 years, the volatility of 0.5% is lower, thus better.

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 0.6%, which is smaller, thus better compared to the benchmark SHY (1.3%) in the same period.
• During the last 3 years, the downside risk is 0.2%, which is lower, thus better than the value of 1% 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.'

• Compared with the benchmark SHY (-0.37) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.8 of Short Term Bond Strategy is greater, thus better.
• Looking at Sharpe Ratio in of 5.34 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SHY (0.94).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The downside risk / excess return profile over 5 years of Short Term Bond Strategy is 2.95, which is larger, thus better compared to the benchmark SHY (-0.56) in the same period.
• Compared with SHY (1.53) in the period of the last 3 years, the ratio of annual return and downside deviation of 13 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.'

• Looking at the Downside risk index of 0.35 in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus better in comparison to the benchmark SHY (2.26 )
• Compared with SHY (0.3 ) in the period of the last 3 years, the Downside risk index of 0.02 is smaller, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of Short Term Bond Strategy is -2 days, which is larger, thus better compared to the benchmark SHY (-5.7 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 higher, 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 (669 days) in the period of the last 5 years, the maximum time in days below previous high water mark 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 lower, 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.'

• The average days under water over 5 years of Short Term Bond Strategy is 64 days, which is lower, thus better compared to the benchmark SHY (208 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 2 days, which is lower, thus better than the value of 21 days from the benchmark.