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.'

• The total return, or performance over 5 years of Short Term Bond Strategy is 23.6%, which is greater, thus better compared to the benchmark SHY (9.3%) in the same period.
• Compared with SHY (12.9%) in the period of the last 3 years, the total return of 17.1% is greater, thus better.

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 4.3%, which is higher, thus better compared to the benchmark SHY (1.8%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 5.4%, which is higher, 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.'

• 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.
• During the last 3 years, the volatility is 0.5%, which is lower, thus better than the value of 1.6% from the benchmark.

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 0.6%, which is lower, thus better compared to the benchmark SHY (1.3%) in the same period.
• During the last 3 years, the downside deviation is 0.2%, which is lower, thus better than the value of 1% from the benchmark.

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 risk / return profile (Sharpe) over 5 years of Short Term Bond Strategy is 1.81, which is greater, thus better compared to the benchmark SHY (-0.35) 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 higher, thus better.

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.'

• The downside risk / excess return profile over 5 years of Short Term Bond Strategy is 2.98, which is greater, thus better compared to the benchmark SHY (-0.54) in the same period.
• Looking at downside risk / excess return profile in of 14 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SHY (1.66).

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 0.35 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:

'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.'

• 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 -0.2 days in the period of the last 3 years, we see it is relatively larger, 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). 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'

• Looking at the maximum days below previous high 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 below previous high is 10 days, which is lower, thus better than the value of 93 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.'

• 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.
• Compared with SHY (21 days) in the period of the last 3 years, the average time in days below previous high water mark of 2 days is lower, thus better.