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

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.'

• Looking at the total return, or performance of 17.6% 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 (62.4%)
• During the last 3 years, the total return, or performance is 14.4%, which is smaller, thus worse than the value of 39.3% from the benchmark.

CAGR:

'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.'

• Looking at the annual performance (CAGR) of 3.3% 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 (10.2%)
• During the last 3 years, the annual performance (CAGR) is 4.6%, which is lower, thus worse than the value of 11.7% 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 SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of 3.1% of iShares Core U.S. Aggregate Bond ETF is lower, thus better.
• Compared with SPY (13.2%) in the period of the last 3 years, the historical 30 days volatility of 2.8% is lower, thus better.

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.'

• Looking at the downside deviation of 2.1% 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 (9.8%)
• Looking at downside volatility in of 1.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (9.8%).

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.'

• Compared with the benchmark SPY (0.57) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.26 of iShares Core U.S. Aggregate Bond ETF is smaller, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.74 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.69).

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.'

• Looking at the downside risk / excess return profile of 0.37 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 (0.78)
• During the last 3 years, the excess return divided by the downside deviation is 1.14, which is higher, thus better than the value of 0.94 from the benchmark.

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.'

• Looking at the Downside risk index of 1.61 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 (3.98 )
• During the last 3 years, the Downside risk index is 1.4 , which is lower, thus better than the value of 4.12 from the benchmark.

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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -4.5 days of iShares Core U.S. Aggregate Bond ETF is higher, thus better.
• Looking at maximum reduction from previous high in of -3.5 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-19.3 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.'

• The maximum time in days below previous high water mark over 5 years of iShares Core U.S. Aggregate Bond ETF is 331 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
• Looking at maximum days below previous high in of 331 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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 SPY (42 days) in the period of the last 5 years, the average days below previous high of 105 days of iShares Core U.S. Aggregate Bond ETF is greater, thus worse.
• During the last 3 years, the average days under water is 90 days, which is larger, thus worse than the value of 37 days from the benchmark.