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.'

• Looking at the total return, or increase in value of 22.1% in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus better in comparison to the benchmark SHY (6.8%)
• Looking at total return, or performance in of 12.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SHY (3.2%).

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 performance (CAGR) over 5 years of Short Term Bond Strategy is 4.1%, which is higher, thus better compared to the benchmark SHY (1.3%) in the same period.
• Compared with SHY (1.1%) in the period of the last 3 years, the annual performance (CAGR) of 4% is higher, thus better.

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.'

• The 30 days standard deviation over 5 years of Short Term Bond Strategy is 2%, which is greater, thus worse compared to the benchmark SHY (1.9%) in the same period.
• Looking at historical 30 days volatility in of 1.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (2.3%).

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.'

• Looking at the downside volatility of 1.6% in the last 5 years of Short Term Bond Strategy, we see it is relatively higher, 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 0.7% is smaller, thus better.

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 (-0.62) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.79 of Short Term Bond Strategy is greater, thus better.
• Compared with SHY (-0.63) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.29 is larger, thus better.

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 ratio of annual return and downside deviation of 0.98 in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus better in comparison to the benchmark SHY (-0.96)
• During the last 3 years, the excess return divided by the downside deviation is 2.06, which is larger, thus better than the value of -0.96 from the benchmark.

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.'

• Compared with the benchmark SHY (2.27 ) in the period of the last 5 years, the Downside risk index of 0.52 of Short Term Bond Strategy is lower, thus better.
• Looking at Downside risk index in of 0.45 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (2.88 ).

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.'

• The maximum reduction from previous high over 5 years of Short Term Bond Strategy is -5.2 days, which is greater, 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 (-5.6 days).

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.'

• Looking at the maximum days under water 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 (711 days)
• During the last 3 years, the maximum days under water is 265 days, which is smaller, thus better than the value of 673 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.'

• Compared with the benchmark SHY (228 days) in the period of the last 5 years, the average time in days below previous high water mark of 53 days of Short Term Bond Strategy is lower, thus better.
• During the last 3 years, the average days below previous high is 80 days, which is lower, thus better than the value of 316 days from the benchmark.