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 of 8.6% in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus worse in comparison to the benchmark TLT (33%)
• Looking at total return, or increase in value in of 4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to TLT (24.5%).

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.'

• The annual performance (CAGR) over 5 years of Short Term Bond Strategy is 1.7%, which is lower, thus worse compared to the benchmark TLT (5.9%) in the same period.
• Compared with TLT (7.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 1.3% is smaller, thus worse.

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.'

• Compared with the benchmark TLT (14%) in the period of the last 5 years, the 30 days standard deviation of 3.2% of Short Term Bond Strategy is smaller, thus better.
• Compared with TLT (16.4%) in the period of the last 3 years, the historical 30 days volatility of 4.2% is lower, thus better.

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 deviation of 2.9% in the last 5 years of Short Term Bond Strategy, we see it is relatively smaller, thus better in comparison to the benchmark TLT (9.6%)
• During the last 3 years, the downside volatility is 3.8%, which is lower, thus better than the value of 11.1% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of Short Term Bond Strategy is -0.26, which is lower, thus worse compared to the benchmark TLT (0.24) in the same period.
• Looking at Sharpe Ratio in of -0.28 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to TLT (0.31).

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.'

• Compared with the benchmark TLT (0.35) in the period of the last 5 years, the excess return divided by the downside deviation of -0.29 of Short Term Bond Strategy is lower, thus worse.
• Compared with TLT (0.46) in the period of the last 3 years, the excess return divided by the downside deviation of -0.31 is lower, thus worse.

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 Ulcer Index over 5 years of Short Term Bond Strategy is 0.68 , which is lower, thus better compared to the benchmark TLT (7.93 ) in the same period.
• Looking at Downside risk index in of 0.88 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to TLT (9.45 ).

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 (-21.3 days) in the period of the last 5 years, the maximum DrawDown of -9.6 days of Short Term Bond Strategy is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -9.6 days, which is greater, thus better than the value of -21.3 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). 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'

• 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 (385 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 195 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to TLT (372 days).

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.'

• The average days under water over 5 years of Short Term Bond Strategy is 35 days, which is lower, thus better compared to the benchmark TLT (131 days) in the same period.
• Compared with TLT (114 days) in the period of the last 3 years, the average days below previous high of 49 days is smaller, thus better.