'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.'

Applying this definition to our asset in some examples:- The total return, or increase in value over 5 years of iShares Core U.S. Aggregate Bond ETF is 22.6%, which is lower, thus worse compared to the benchmark SPY (88%) in the same period.
- During the last 3 years, the total return, or performance is 16.2%, which is smaller, thus worse than the value of 39.5% from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.2% of iShares Core U.S. Aggregate Bond ETF is smaller, thus worse.
- During the last 3 years, the annual return (CAGR) is 5.1%, which is lower, thus worse than the value of 11.7% from the benchmark.

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:- Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the 30 days standard deviation of 4.6% of iShares Core U.S. Aggregate Bond ETF is lower, thus better.
- Looking at historical 30 days volatility in of 5.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.3%).

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Applying this definition to our asset in some examples:- 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 lower, thus better in comparison to the benchmark SPY (13.7%)
- Compared with SPY (16.5%) in the period of the last 3 years, the downside volatility of 4.1% is lower, thus better.

'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.'

Which means for our asset as example:- The ratio of return and volatility (Sharpe) over 5 years of iShares Core U.S. Aggregate Bond ETF is 0.36, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
- Looking at ratio of return and volatility (Sharpe) in of 0.49 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.41).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.8) in the period of the last 5 years, the downside risk / excess return profile of 0.48 of iShares Core U.S. Aggregate Bond ETF is lower, thus worse.
- Compared with SPY (0.56) in the period of the last 3 years, the downside risk / excess return profile of 0.64 is greater, thus better.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (5.79 ) in the period of the last 5 years, the Downside risk index of 1.62 of iShares Core U.S. Aggregate Bond ETF is lower, thus better.
- Compared with SPY (7.08 ) in the period of the last 3 years, the Downside risk index of 1.4 is smaller, 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -9.6 days of iShares Core U.S. Aggregate Bond ETF is greater, thus better.
- During the last 3 years, the maximum drop from peak to valley is -9.6 days, which is greater, 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). 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'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 331 days of iShares Core U.S. Aggregate Bond ETF is greater, thus worse.
- During the last 3 years, the maximum days under water is 259 days, which is greater, thus worse than the value of 139 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average time in days below previous high water mark of 94 days of iShares Core U.S. Aggregate Bond ETF is larger, thus worse.
- During the last 3 years, the average time in days below previous high water mark is 62 days, which is greater, thus worse than the value of 45 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.