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.'

• Compared with the benchmark SHY (9.2%) in the period of the last 5 years, the total return of 23% of Short Term Bond Strategy is higher, thus better.
• During the last 3 years, the total return is 17%, which is higher, thus better than the value of 13.1% 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 return (CAGR) over 5 years of Short Term Bond Strategy is 4.2%, which is greater, thus better compared to the benchmark SHY (1.8%) in the same period.
• Looking at annual performance (CAGR) in of 5.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SHY (4.2%).

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.'

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

DownVol:

'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.'

• Compared with the benchmark SHY (1.3%) in the period of the last 5 years, the downside deviation of 0.6% of Short Term Bond Strategy is lower, thus better.
• During the last 3 years, the downside deviation 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Short Term Bond Strategy is 1.74, which is greater, thus better compared to the benchmark SHY (-0.36) in the same period.
• Looking at risk / return profile (Sharpe) in of 5.64 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SHY (1.04).

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.'

• The excess return divided by the downside deviation over 5 years of Short Term Bond Strategy is 2.85, which is greater, thus better compared to the benchmark SHY (-0.55) in the same period.
• Compared with SHY (1.72) in the period of the last 3 years, the ratio of annual return and downside deviation of 14 is greater, thus better.

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.'

• The Downside risk index over 5 years of Short Term Bond Strategy is 0.35 , which is lower, thus better compared to the benchmark SHY (2.3 ) in the same period.
• Looking at Ulcer Ratio in of 0.02 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (0.3 ).

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.'

• Compared with the benchmark SHY (-5.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -2 days of Short Term Bond Strategy is larger, thus better.
• During the last 3 years, the maximum drop from peak to valley is -0.2 days, which is higher, thus better than the value of -1 days from the benchmark.

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 below previous high of 265 days of Short Term Bond Strategy is smaller, thus better.
• Looking at maximum days under water 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 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.'

• The average time in days below previous high water mark over 5 years of Short Term Bond Strategy is 63 days, which is smaller, thus better compared to the benchmark SHY (233 days) in the same period.
• Compared with SHY (21 days) in the period of the last 3 years, the average days below previous high of 2 days is smaller, thus better.