iShares Short Maturity Bond ETF (NEAR)

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.'

• Compared with the benchmark SPY (101.9%) in the period of the last 5 years, the total return, or performance of 15% of iShares Short Maturity Bond ETF is smaller, thus worse.
• Looking at total return, or performance in of 13.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (33.5%).

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.'

• The annual performance (CAGR) over 5 years of iShares Short Maturity Bond ETF is 2.8%, which is smaller, thus worse compared to the benchmark SPY (15.1%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 4.2% is smaller, thus worse.

Volatility:

'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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the 30 days standard deviation of 3.4% of iShares Short Maturity Bond ETF is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 1.2%, which is lower, thus better than the value of 17.5% 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.'

• Looking at the downside risk of 3% in the last 5 years of iShares Short Maturity Bond ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15%)
• Looking at downside risk in of 0.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.3%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares Short Maturity Bond ETF is 0.1, which is smaller, thus worse compared to the benchmark SPY (0.6) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 1.4, which is higher, thus better than the value of 0.44 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.84) in the period of the last 5 years, the downside risk / excess return profile of 0.12 of iShares Short Maturity Bond ETF is lower, thus worse.
• Compared with SPY (0.62) in the period of the last 3 years, the excess return divided by the downside deviation of 2.28 is higher, 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.'

• Looking at the Ulcer Index of 0.77 in the last 5 years of iShares Short Maturity Bond ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.32 )
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 0.41 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 iShares Short Maturity Bond ETF is -9.6 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -1.1 days is larger, thus better.

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 time in days below previous high water mark over 5 years of iShares Short Maturity Bond ETF is 302 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 232 days is lower, thus better.

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.'

• The average days under water over 5 years of iShares Short Maturity Bond ETF is 62 days, which is lower, thus better compared to the benchmark SPY (122 days) in the same period.
• Compared with SPY (177 days) in the period of the last 3 years, the average time in days below previous high water mark of 59 days is smaller, thus better.