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 25.4%, which is greater, thus better compared to the benchmark SHY (7.5%) in the same period.
• During the last 3 years, the total return, or performance is 17.9%, which is greater, thus better than the value of 13.4% 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.'

• The annual performance (CAGR) over 5 years of Short Term Bond Strategy is 4.6%, which is higher, thus better compared to the benchmark SHY (1.5%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 5.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SHY (4.3%).

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 historical 30 days volatility of 1.2% of Short Term Bond Strategy is smaller, 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 lower, thus better in comparison to SHY (2.1%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Short Term Bond Strategy is 0.8%, which is lower, thus better compared to the benchmark SHY (1.3%) in the same period.
• Looking at downside volatility in of 0.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (1.3%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of Short Term Bond Strategy is 1.73, which is higher, thus better compared to the benchmark SHY (-0.54) in the same period.
• Compared with SHY (0.85) in the period of the last 3 years, the risk / return profile (Sharpe) of 5.33 is greater, 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 2.72 in the last 5 years of Short Term Bond Strategy, we see it is relatively higher, thus better in comparison to the benchmark SHY (-0.83)
• Looking at excess return divided by the downside deviation in of 12 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SHY (1.43).

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.'

• Looking at the Downside risk index of 0.36 in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus better in comparison to the benchmark SHY (2.29 )
• Looking at Ulcer Ratio in of 0.03 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (0.5 ).

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 DrawDown of -2 days of Short Term Bond Strategy is higher, thus better.
• Compared with SHY (-1.6 days) in the period of the last 3 years, the maximum DrawDown of -0.2 days is larger, thus better.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• 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 lower, thus better.
• Looking at maximum days under water in of 18 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (126 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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 56 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 (229 days)
• Looking at average time in days below previous high water mark in of 3 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (26 days).