Short Term Bond Strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return over 5 years of Short Term Bond Strategy is 24.1%, which is larger, thus better compared to the benchmark SHY (6.1%) in the same period.
• During the last 3 years, the total return, or performance is 16.5%, which is greater, thus better than the value of 10.4% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• 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 (1.2%)
• During the last 3 years, the annual performance (CAGR) is 5.2%, which is larger, thus better than the value of 3.4% from the benchmark.

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 SHY (1.9%) in the period of the last 5 years, the 30 days standard deviation of 1.2% of Short Term Bond Strategy is lower, thus better.
• Compared with SHY (2.2%) in the period of the last 3 years, the 30 days standard deviation of 0.6% is lower, thus better.

DownVol:

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

• The downside deviation over 5 years of Short Term Bond Strategy is 0.8%, which is smaller, thus better compared to the benchmark SHY (1.2%) in the same period.
• Compared with SHY (1.4%) in the period of the last 3 years, the downside deviation of 0.3% is lower, 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 ratio of return and volatility (Sharpe) over 5 years of Short Term Bond Strategy is 1.56, which is greater, thus better compared to the benchmark SHY (-0.68) in the same period.
• Looking at risk / return profile (Sharpe) in of 4.48 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SHY (0.39).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark SHY (-1.05) in the period of the last 5 years, the ratio of annual return and downside deviation of 2.45 of Short Term Bond Strategy is larger, thus better.
• Compared with SHY (0.64) in the period of the last 3 years, the downside risk / excess return profile of 10 is greater, thus better.

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.'

• Compared with the benchmark SHY (2.29 ) in the period of the last 5 years, the Ulcer Ratio of 0.36 of Short Term Bond Strategy is lower, thus better.
• During the last 3 years, the Ulcer Index is 0.08 , which is lower, thus better than the value of 0.8 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.'

• The maximum DrawDown over 5 years of Short Term Bond Strategy is -2 days, which is higher, thus better compared to the benchmark SHY (-5.7 days) in the same period.
• Looking at maximum DrawDown in of -0.4 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SHY (-2.5 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 time in days below previous high water mark 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 (712 days)
• During the last 3 years, the maximum days under water is 54 days, which is lower, thus better than the value of 155 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 (230 days) in the period of the last 5 years, the average days below previous high of 54 days of Short Term Bond Strategy is lower, thus better.
• Looking at average time in days below previous high water mark in of 7 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SHY (42 days).