Description

The investment seeks to maximize current income. The fund seeks to achieve its investment objective by investing, under normal circumstances, at least 80% of its net assets in a portfolio of U.S. dollar-denominated investment-grade fixed-income securities. Under normal circumstances, the effective duration of its portfolio is expected to be one year or less, as calculated by the management team. It is an actively managed exchange-traded fund (ETF) that does not seek to replicate the performance of a specified index.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Looking at the total return of 8.6% in the last 5 years of iShares Short Maturity Bond ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (106.8%)
  • Compared with SPY (71.9%) in the period of the last 3 years, the total return, or increase in value of 4.8% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (15.7%) in the period of the last 5 years, the annual performance (CAGR) of 1.7% of iShares Short Maturity Bond ETF is lower, thus worse.
  • Looking at annual performance (CAGR) in of 1.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.8%).

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.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 3.3% 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 (18.9%)
  • Compared with SPY (21.9%) in the period of the last 3 years, the 30 days standard deviation of 4.2% is lower, thus better.

DownVol:

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

Using this definition on our asset we see for example:
  • The downside risk over 5 years of iShares Short Maturity Bond ETF is 2.9%, which is smaller, thus better compared to the benchmark SPY (13.8%) in the same period.
  • Looking at downside risk in of 3.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (15.9%).

Sharpe:

'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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.69) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.26 of iShares Short Maturity Bond ETF is smaller, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is -0.22, which is smaller, thus worse than the value of 0.79 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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk / excess return profile of -0.29 in the last 5 years of iShares Short Maturity Bond ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.95)
  • During the last 3 years, the downside risk / excess return profile is -0.24, which is smaller, thus worse than the value of 1.09 from the benchmark.

Ulcer:

'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.'

Which means for our asset as example:
  • Looking at the Ulcer Ratio of 0.66 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 (5.61 )
  • During the last 3 years, the Ulcer Ratio is 0.86 , which is lower, thus better than the value of 6.08 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

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 Short Maturity Bond ETF is greater, thus better.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -9.6 days is higher, thus better.

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.'

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 days under water of 97 days of iShares Short Maturity Bond ETF is lower, thus better.
  • Compared with SPY (119 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 97 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.'

Applying this definition to our asset in some examples:
  • The average days below previous high over 5 years of iShares Short Maturity Bond ETF is 15 days, which is smaller, thus better compared to the benchmark SPY (32 days) in the same period.
  • Compared with SPY (22 days) in the period of the last 3 years, the average days under water of 22 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares Short Maturity 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.