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 increase in value over 5 years of Short Term Bond Strategy is 20.6%, which is larger, thus better compared to the benchmark SHY (5%) in the same period.
• During the last 3 years, the total return, or performance is 12%, which is greater, thus better than the value of -0.3% 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 3.8% in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus better in comparison to the benchmark SHY (1%)
• During the last 3 years, the annual performance (CAGR) is 3.9%, which is greater, thus better than the value of -0.1% 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.'

• Looking at the volatility of 2% in the last 5 years of Short Term Bond Strategy, we see it is relatively greater, thus worse in comparison to the benchmark SHY (1.9%)
• During the last 3 years, the volatility is 1.4%, which is lower, thus better than the value of 2.2% from the benchmark.

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.'

• Compared with the benchmark SHY (1.2%) in the period of the last 5 years, the downside deviation of 1.6% of Short Term Bond Strategy is larger, thus worse.
• During the last 3 years, the downside deviation is 0.9%, which is lower, thus better than the value of 1.5% 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 Sharpe Ratio over 5 years of Short Term Bond Strategy is 0.66, which is larger, thus better compared to the benchmark SHY (-0.81) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.99, which is higher, thus better than the value of -1.16 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.'

• Compared with the benchmark SHY (-1.24) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.82 of Short Term Bond Strategy is greater, thus better.
• Compared with SHY (-1.74) in the period of the last 3 years, the downside risk / excess return profile of 1.53 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 (2.27 ) in the period of the last 5 years, the Downside risk index of 0.52 of Short Term Bond Strategy is smaller, thus better.
• Compared with SHY (2.93 ) in the period of the last 3 years, the Ulcer Index of 0.46 is lower, thus better.

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 reduction from previous high over 5 years of Short Term Bond Strategy is -5.2 days, which is higher, thus better compared to the benchmark SHY (-5.7 days) in the same period.
• Compared with SHY (-5.7 days) in the period of the last 3 years, the maximum reduction from previous high of -2 days is greater, 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) in days.'

• The maximum days under water over 5 years of Short Term Bond Strategy is 265 days, which is lower, thus better compared to the benchmark SHY (694 days) in the same period.
• During the last 3 years, the maximum days under water is 265 days, which is lower, thus better than the value of 694 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 (216 days) in the period of the last 5 years, the average days under water of 52 days of Short Term Bond Strategy is lower, thus better.
• Compared with SHY (324 days) in the period of the last 3 years, the average time in days below previous high water mark of 73 days is lower, thus better.