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 performance of 23.6% in the last 5 years of Short Term Bond Strategy, we see it is relatively larger, thus better in comparison to the benchmark SHY (9.2%)
• During the last 3 years, the total return is 17.1%, which is larger, thus better than the value of 12.9% 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 performance (CAGR) of 4.4% in the last 5 years of Short Term Bond Strategy, we see it is relatively larger, thus better in comparison to the benchmark SHY (1.8%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.4%, which is greater, thus better than the value of 4.1% 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.'

• Looking at the volatility of 1% in the last 5 years of Short Term Bond Strategy, we see it is relatively lower, thus better in comparison to the benchmark SHY (2%)
• Compared with SHY (1.6%) in the period of the last 3 years, the volatility of 0.5% is lower, thus better.

DownVol:

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

• Looking at the downside volatility of 0.6% in the last 5 years of Short Term Bond Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SHY (1.3%)
• During the last 3 years, the downside volatility is 0.2%, which is lower, thus better than the value of 1% from the benchmark.

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 ratio of return and volatility (Sharpe) over 5 years of Short Term Bond Strategy is 1.82, which is larger, thus better compared to the benchmark SHY (-0.36) in the same period.
• Compared with SHY (1) in the period of the last 3 years, the risk / return profile (Sharpe) of 5.68 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.'

• Compared with the benchmark SHY (-0.55) in the period of the last 5 years, the downside risk / excess return profile of 3 of Short Term Bond Strategy is higher, thus better.
• Looking at downside risk / excess return profile in of 14 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SHY (1.65).

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.'

• The Ulcer Index over 5 years of Short Term Bond Strategy is 0.35 , which is lower, thus better compared to the benchmark SHY (2.3 ) in the same period.
• During the last 3 years, the Downside risk index is 0.02 , which is smaller, thus better than the value of 0.3 from the benchmark.

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 -2 days in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus better in comparison to the benchmark SHY (-5.7 days)
• Looking at maximum reduction from previous high 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 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.'

• 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 smaller, 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 (93 days).

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 SHY (233 days) in the period of the last 5 years, the average days under water of 63 days of Short Term Bond Strategy is smaller, thus better.
• Compared with SHY (21 days) in the period of the last 3 years, the average days under water of 2 days is lower, thus better.