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, or performance over 5 years of Short Term Bond Strategy is 10.4%, which is smaller, thus worse compared to the benchmark TLT (30.7%) in the same period.
• Looking at total return, or increase in value in of 6.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to TLT (2.8%).

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.'

• Compared with the benchmark TLT (5.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 2% of Short Term Bond Strategy is lower, thus worse.
• Compared with TLT (0.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 2.2% 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 volatility over 5 years of Short Term Bond Strategy is 0.7%, which is lower, thus better compared to the benchmark TLT (11.8%) in the same period.
• Compared with TLT (10.4%) in the period of the last 3 years, the historical 30 days volatility of 0.4% 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 TLT (12.6%) in the period of the last 5 years, the downside deviation of 0.9% of Short Term Bond Strategy is lower, thus better.
• Compared with TLT (10.9%) in the period of the last 3 years, the downside deviation of 0.5% is smaller, 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 TLT (0.25) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.71 of Short Term Bond Strategy is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.76, which is lower, thus worse than the value of -0.15 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.'

• Looking at the downside risk / excess return profile of -0.57 in the last 5 years of Short Term Bond Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark TLT (0.24)
• During the last 3 years, the ratio of annual return and downside deviation is -0.54, which is lower, thus worse than the value of -0.14 from the benchmark.

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 Ulcer Ratio of 0.11 in the last 5 years of Short Term Bond Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark TLT (9.87 )
• Compared with TLT (11 ) in the period of the last 3 years, the Ulcer Index of 0.02 is smaller, thus worse.

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 TLT (-17.9 days) in the period of the last 5 years, the maximum drop from peak to valley of -0.5 days of Short Term Bond Strategy is larger, thus better.
• Compared with TLT (-17.9 days) in the period of the last 3 years, the maximum drop from peak to valley of -0.1 days is higher, thus better.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark TLT (679 days) in the period of the last 5 years, the maximum days under water of 53 days of Short Term Bond Strategy is lower, thus better.
• Compared with TLT (679 days) in the period of the last 3 years, the maximum days below previous high of 15 days is smaller, thus better.

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 time in days below previous high water mark of 10 days in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus better in comparison to the benchmark TLT (242 days)
• During the last 3 years, the average days below previous high is 3 days, which is lower, thus better than the value of 314 days from the benchmark.