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.'

• Looking at the total return of 22.6% in the last 5 years of Short Term Bond Strategy, we see it is relatively higher, thus better in comparison to the benchmark SHY (6.3%)
• Compared with SHY (3.7%) in the period of the last 3 years, the total return, or increase in value of 13.6% is higher, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• 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 (1.2%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 4.4%, which is larger, thus better than the value of 1.2% 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.'

• Looking at the 30 days standard deviation of 2% in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus worse in comparison to the benchmark SHY (1.9%)
• During the last 3 years, the historical 30 days volatility is 1%, which is smaller, thus better than the value of 2.3% from the benchmark.

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.'

• Looking at the downside risk of 1.6% in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus worse in comparison to the benchmark SHY (1.2%)
• Compared with SHY (1.5%) in the period of the last 3 years, the downside deviation of 0.6% is lower, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SHY (-0.66) in the period of the last 5 years, the Sharpe Ratio of 0.83 of Short Term Bond Strategy is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 1.81, which is greater, thus better than the value of -0.55 from the benchmark.

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 ratio of annual return and downside deviation over 5 years of Short Term Bond Strategy is 1.04, which is higher, thus better compared to the benchmark SHY (-1.02) in the same period.
• Compared with SHY (-0.84) in the period of the last 3 years, the excess return divided by the downside deviation of 3.25 is larger, 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.'

• Compared with the benchmark SHY (2.28 ) in the period of the last 5 years, the Downside risk index of 0.52 of Short Term Bond Strategy is lower, thus better.
• Compared with SHY (2.42 ) in the period of the last 3 years, the Ulcer Ratio of 0.35 is lower, 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.'

• Compared with the benchmark SHY (-5.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -5.2 days of Short Term Bond Strategy is larger, thus better.
• During the last 3 years, the maximum DrawDown is -1.6 days, which is larger, thus better than the value of -5.1 days from the benchmark.

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) in days.'

• Compared with the benchmark SHY (711 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.
• During the last 3 years, the maximum time in days below previous high water mark is 195 days, which is smaller, thus better than the value of 506 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.'

• Looking at the average days under water of 53 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)
• During the last 3 years, the average days under water is 49 days, which is lower, thus better than the value of 187 days from the benchmark.