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%) in the period of the last 5 years, the total return of 24.4% of Short Term Bond Strategy is larger, thus better.
• During the last 3 years, the total return, or performance is 17.2%, which is larger, thus better than the value of 12.1% 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.'

• The annual performance (CAGR) over 5 years of Short Term Bond Strategy is 4.5%, which is larger, thus better compared to the benchmark SHY (1.7%) in the same period.
• Compared with SHY (3.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 5.5% 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.'

• The historical 30 days volatility over 5 years of Short Term Bond Strategy is 1.1%, which is lower, thus better compared to the benchmark SHY (2%) in the same period.
• Looking at 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 (1.7%).

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.'

• Looking at the downside deviation of 0.7% in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus better in comparison to the benchmark SHY (1.3%)
• Compared with SHY (1.1%) in the period of the last 3 years, the downside volatility of 0.2% is smaller, thus better.

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.'

• Compared with the benchmark SHY (-0.38) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.77 of Short Term Bond Strategy is greater, thus better.
• Compared with SHY (0.81) in the period of the last 3 years, the risk / return profile (Sharpe) of 5.56 is higher, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The downside risk / excess return profile over 5 years of Short Term Bond Strategy is 2.83, which is higher, thus better compared to the benchmark SHY (-0.59) in the same period.
• Looking at excess return divided by the downside deviation in of 14 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SHY (1.33).

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 0.36 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 )
• During the last 3 years, the Ulcer Index is 0.02 , which is lower, thus better than the value of 0.47 from the benchmark.

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 DrawDown over 5 years of Short Term Bond Strategy is -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 -0.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SHY (-1.6 days).

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 time in days below previous high water mark of 265 days of Short Term Bond Strategy is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 10 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (126 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 60 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 (232 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 (27 days).