iShares Core U.S. Aggregate Bond ETF (AGG)

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 of 1.4% 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 (60.6%)
• Looking at total return in of -14.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (38%).

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 compounded annual growth rate (CAGR) of 0.3% 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 (10%)
• Compared with SPY (11.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -5.1% is lower, thus worse.

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.'

• The 30 days standard deviation over 5 years of iShares Core U.S. Aggregate Bond ETF is 6.3%, which is lower, thus better compared to the benchmark SPY (21.5%) in the same period.
• Compared with SPY (17.9%) in the period of the last 3 years, the 30 days standard deviation of 6.2% 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 4.7% 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 (15.5%)
• Compared with SPY (12.5%) in the period of the last 3 years, the downside volatility of 4.5% is smaller, thus better.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the risk / return profile (Sharpe) of -0.36 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 (0.35)
• During the last 3 years, the ratio of return and volatility (Sharpe) is -1.22, which is lower, thus worse than the value of 0.49 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.'

• The excess return divided by the downside deviation over 5 years of iShares Core U.S. Aggregate Bond ETF is -0.48, which is lower, thus worse compared to the benchmark SPY (0.48) in the same period.
• Looking at downside risk / excess return profile in of -1.68 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.71).

Ulcer:

'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.'

• The Ulcer Ratio over 5 years of iShares Core U.S. Aggregate Bond ETF is 7.38 , which is smaller, thus better compared to the benchmark SPY (9.55 ) in the same period.
• Looking at Downside risk index in of 9.18 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

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 iShares Core U.S. Aggregate Bond ETF is -18.4 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -18.1 days, which is larger, thus better than the value of -24.5 days from the benchmark.

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.'

• The maximum days below previous high over 5 years of iShares Core U.S. Aggregate Bond ETF is 788 days, which is larger, thus worse compared to the benchmark SPY (431 days) in the same period.
• Looking at maximum days under water in of 684 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (431 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.'

• Looking at the average days below previous high of 277 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 (105 days)
• During the last 3 years, the average days below previous high is 315 days, which is higher, thus worse than the value of 144 days from the benchmark.