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.'

• Looking at the total return, or increase in value of 10.3% in the last 5 years of Short Term Bond Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark TLT (26.5%)
• Compared with TLT (4.1%) in the period of the last 3 years, the total return of 6.9% is higher, thus better.

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.'

• Compared with the benchmark TLT (4.8%) in the period of the last 5 years, the annual return (CAGR) of 2% of Short Term Bond Strategy is smaller, thus worse.
• Compared with TLT (1.4%) in the period of the last 3 years, the annual performance (CAGR) of 2.2% is greater, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of Short Term Bond Strategy is 0.7%, which is smaller, thus better compared to the benchmark TLT (11.8%) in the same period.
• Looking at 30 days standard deviation in of 0.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to TLT (10.3%).

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.'

• Looking at the downside volatility of 0.9% in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus better in comparison to the benchmark TLT (12.6%)
• Compared with TLT (10.8%) in the period of the last 3 years, the downside deviation of 0.5% is smaller, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The Sharpe Ratio over 5 years of Short Term Bond Strategy is -0.75, which is smaller, thus worse compared to the benchmark TLT (0.2) in the same period.
• Compared with TLT (-0.11) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.72 is smaller, thus worse.

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.'

• The downside risk / excess return profile over 5 years of Short Term Bond Strategy is -0.59, which is smaller, thus worse compared to the benchmark TLT (0.18) in the same period.
• Compared with TLT (-0.11) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.52 is lower, thus worse.

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 TLT (9.95 ) in the period of the last 5 years, the Downside risk index of 0.1 of Short Term Bond Strategy is smaller, thus worse.
• Compared with TLT (11 ) in the period of the last 3 years, the Downside risk index of 0.02 is lower, thus worse.

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.'

• The maximum reduction from previous high over 5 years of Short Term Bond Strategy is -0.5 days, which is larger, thus better compared to the benchmark TLT (-17.9 days) in the same period.
• Compared with TLT (-17.9 days) in the period of the last 3 years, the maximum reduction from previous high of -0.1 days is larger, 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'

• The maximum days below previous high over 5 years of Short Term Bond Strategy is 53 days, which is lower, thus better compared to the benchmark TLT (721 days) in the same period.
• Compared with TLT (721 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 15 days is lower, thus better.

AveDuration:

'The Average 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. 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 TLT (264 days) in the period of the last 5 years, the average days under water of 10 days of Short Term Bond Strategy is lower, thus better.
• Looking at average days below previous high in of 3 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to TLT (353 days).