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.'

• The total return over 5 years of Short Term Bond Strategy is 9.4%, which is lower, thus worse compared to the benchmark TLT (17.6%) in the same period.
• During the last 3 years, the total return, or increase in value is 5%, which is smaller, thus worse than the value of 31.9% from the benchmark.

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 (3.3%) in the period of the last 5 years, the annual performance (CAGR) of 1.8% of Short Term Bond Strategy is smaller, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 1.7%, which is lower, thus worse than the value of 9.7% 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 volatility of 3.2% in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus better in comparison to the benchmark TLT (13.9%)
• Looking at 30 days standard deviation in of 4.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to TLT (15.9%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark TLT (9.6%) in the period of the last 5 years, the downside risk of 2.9% of Short Term Bond Strategy is lower, thus better.
• During the last 3 years, the downside risk is 3.8%, which is smaller, thus better than the value of 10.7% from the benchmark.

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 (0.06) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.21 of Short Term Bond Strategy is smaller, thus worse.
• During the last 3 years, the Sharpe Ratio is -0.2, which is lower, thus worse than the value of 0.45 from the benchmark.

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.'

• Looking at the downside risk / excess return profile of -0.24 in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus worse in comparison to the benchmark TLT (0.08)
• Compared with TLT (0.67) in the period of the last 3 years, the excess return divided by the downside deviation of -0.22 is smaller, thus worse.

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 TLT (9.47 ) in the period of the last 5 years, the Downside risk index of 0.68 of Short Term Bond Strategy is lower, thus better.
• Looking at Ulcer Index in of 0.88 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to TLT (8.43 ).

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.'

• Looking at the maximum drop from peak to valley of -9.6 days in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus better in comparison to the benchmark TLT (-21.3 days)
• Compared with TLT (-21.3 days) in the period of the last 3 years, the maximum DrawDown of -9.6 days is higher, thus better.

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.'

• The maximum days under water over 5 years of Short Term Bond Strategy is 195 days, which is lower, thus better compared to the benchmark TLT (668 days) in the same period.
• Compared with TLT (289 days) in the period of the last 3 years, the maximum days below previous high of 195 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 days below previous high of 33 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 (225 days)
• During the last 3 years, the average days under water is 48 days, which is smaller, thus better than the value of 79 days from the benchmark.