'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.'

Using this definition on our asset we see for example:- Looking at the total return, or increase in value of 16.5% in the last 5 years of iShares Core U.S. Aggregate Bond ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (121.6%)
- During the last 3 years, the total return, or increase in value is 18.3%, which is lower, thus worse than the value of 64.5% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the annual return (CAGR) of 3.1% in the last 5 years of iShares Core U.S. Aggregate Bond ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (17.3%)
- Looking at compounded annual growth rate (CAGR) in of 5.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.1%).

'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.'

Which means for our asset as example:- Looking at the volatility of 4.6% in the last 5 years of iShares Core U.S. Aggregate Bond ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.7%)
- Compared with SPY (22.5%) in the period of the last 3 years, the 30 days standard deviation of 5.5% is smaller, thus better.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Which means for our asset as example:- Looking at the downside risk of 3.5% in the last 5 years of iShares Core U.S. Aggregate Bond ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.5%)
- Compared with SPY (16.4%) in the period of the last 3 years, the downside risk of 4.2% is lower, thus better.

'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.'

Which means for our asset as example:- The risk / return profile (Sharpe) over 5 years of iShares Core U.S. Aggregate Bond ETF is 0.13, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.6, which is lower, thus worse than the value of 0.69 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (1.09) in the period of the last 5 years, the excess return divided by the downside deviation of 0.17 of iShares Core U.S. Aggregate Bond ETF is smaller, thus worse.
- Compared with SPY (0.95) in the period of the last 3 years, the excess return divided by the downside deviation of 0.78 is lower, thus worse.

'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.'

Which means for our asset as example:- Looking at the Downside risk index of 1.8 in the last 5 years of iShares Core U.S. Aggregate Bond ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (5.58 )
- Compared with SPY (6.83 ) in the period of the last 3 years, the Downside risk index of 1.49 is lower, thus better.

'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.'

Which means for our asset as example:- Looking at the maximum drop from peak to valley of -9.6 days in the last 5 years of iShares Core U.S. Aggregate Bond ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum drop from peak to valley is -9.6 days, which is larger, thus better than the value of -33.7 days from the benchmark.

'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.'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 331 days in the last 5 years of iShares Core U.S. Aggregate Bond ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
- During the last 3 years, the maximum time in days below previous high water mark is 249 days, which is larger, thus worse than the value of 139 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the average days below previous high of 105 days in the last 5 years of iShares Core U.S. Aggregate Bond ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (33 days)
- During the last 3 years, the average days below previous high is 61 days, which is greater, thus worse than the value of 35 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of iShares Core U.S. Aggregate Bond ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.