Short Term Bond Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return over 5 years of Short Term Bond Strategy is 24.4%, which is larger, thus better compared to the benchmark SHY (9.2%) in the same period.
• During the last 3 years, the total return, or performance is 17.2%, which is higher, thus better than the value of 13% from the benchmark.

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.'

• Looking at the annual return (CAGR) of 4.5% in the last 5 years of Short Term Bond Strategy, we see it is relatively higher, thus better in comparison to the benchmark SHY (1.8%)
• During the last 3 years, the annual performance (CAGR) is 5.5%, which is higher, thus better than the value of 4.2% from the benchmark.

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.'

• Compared with the benchmark SHY (2%) in the period of the last 5 years, the historical 30 days volatility of 1% of Short Term Bond Strategy is lower, thus better.
• Looking at 30 days standard deviation in of 0.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (1.7%).

DownVol:

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

• The downside risk over 5 years of Short Term Bond Strategy is 0.6%, which is lower, thus better compared to the benchmark SHY (1.3%) in the same period.
• Compared with SHY (1%) in the period of the last 3 years, the downside volatility of 0.2% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Short Term Bond Strategy is 1.92, which is higher, thus better compared to the benchmark SHY (-0.36) in the same period.
• During the last 3 years, the Sharpe Ratio is 5.72, which is higher, thus better than the value of 1 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 3.19 in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus better in comparison to the benchmark SHY (-0.55)
• Compared with SHY (1.64) in the period of the last 3 years, the ratio of annual return and downside deviation of 14 is larger, thus better.

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 (2.3 ) in the period of the last 5 years, the Ulcer Ratio of 0.35 of Short Term Bond Strategy is smaller, thus better.
• Looking at Downside risk index in of 0.02 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (0.3 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum DrawDown of -2 days in the last 5 years of Short Term Bond Strategy, we see it is relatively higher, thus better in comparison to the benchmark SHY (-5.7 days)
• Looking at maximum DrawDown in of -0.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SHY (-1 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.'

• Compared with the benchmark SHY (712 days) in the period of the last 5 years, the maximum days below previous high of 265 days of Short Term Bond Strategy is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 10 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SHY (83 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 time in days below previous high water mark over 5 years of Short Term Bond Strategy is 63 days, which is lower, thus better compared to the benchmark SHY (233 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 2 days, which is lower, thus better than the value of 20 days from the benchmark.