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 18%, which is larger, thus better compared to the benchmark SHY (4.5%) in the same period.
• Looking at total return in of 11.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SHY (-3.2%).

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 return (CAGR) over 5 years of Short Term Bond Strategy is 3.4%, which is greater, thus better compared to the benchmark SHY (0.9%) in the same period.
• During the last 3 years, the annual return (CAGR) is 3.7%, which is greater, thus better than the value of -1.1% from the benchmark.

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 (1.8%) in the period of the last 5 years, the 30 days standard deviation of 2% of Short Term Bond Strategy is larger, thus worse.
• Looking at volatility in of 1.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (2%).

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.
• Looking at downside risk in of 1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (1.4%).

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 (-0.91) in the period of the last 5 years, the Sharpe Ratio of 0.44 of Short Term Bond Strategy is higher, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.81, which is greater, thus better than the value of -1.76 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of 0.54 in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus better in comparison to the benchmark SHY (-1.39)
• Looking at downside risk / excess return profile in of 1.24 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SHY (-2.59).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Ulcer Index over 5 years of Short Term Bond Strategy is 0.52 , which is lower, thus better compared to the benchmark SHY (2.22 ) in the same period.
• Compared with SHY (2.86 ) in the period of the last 3 years, the Downside risk index of 0.46 is smaller, thus better.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum DrawDown over 5 years of Short Term Bond Strategy is -5.2 days, which is higher, thus better compared to the benchmark SHY (-5.7 days) in the same period.
• Looking at maximum DrawDown in of -2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SHY (-5.7 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.'

• Looking at the maximum days below previous high 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 (545 days)
• During the last 3 years, the maximum days below previous high is 265 days, which is lower, thus better than the value of 545 days from the benchmark.

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 below previous high over 5 years of Short Term Bond Strategy is 53 days, which is smaller, thus better compared to the benchmark SHY (146 days) in the same period.
• Looking at average time in days below previous high water mark in of 68 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (208 days).