'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:- The total return, or increase in value over 5 years of iShares Short Maturity Bond ETF is 8.4%, which is lower, thus worse compared to the benchmark SPY (67.9%) in the same period.
- During the last 3 years, the total return, or performance is 6%, which is lower, thus worse than the value of 38.6% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the annual performance (CAGR) of 1.6% of iShares Short Maturity Bond ETF is lower, thus worse.
- During the last 3 years, the annual return (CAGR) is 2%, which is lower, thus worse than the value of 11.5% from the benchmark.

'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.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of iShares Short Maturity Bond ETF is 3.4%, which is lower, thus better compared to the benchmark SPY (18.7%) in the same period.
- Looking at volatility in of 4.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (21.5%).

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Using this definition on our asset we see for example:- Looking at the downside volatility of 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 (13.6%)
- Compared with SPY (15.7%) in the period of the last 3 years, the downside deviation of 3.8% 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 Short Maturity Bond ETF is -0.26, which is smaller, thus worse compared to the benchmark SPY (0.45) in the same period.
- Compared with SPY (0.42) in the period of the last 3 years, the Sharpe Ratio of -0.13 is lower, thus worse.

'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:- Looking at the ratio of annual return and downside deviation of -0.3 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 (0.62)
- Compared with SPY (0.57) in the period of the last 3 years, the downside risk / excess return profile of -0.15 is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the Downside risk index of 0.67 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 (5.82 )
- During the last 3 years, the Ulcer Ratio is 0.85 , which is smaller, thus better than the value of 6.87 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the maximum reduction from previous high of -9.6 days in the last 5 years of iShares Short Maturity Bond ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum DrawDown is -9.6 days, which is greater, thus better than the value of -33.7 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 64 days of iShares Short Maturity Bond ETF is lower, thus better.
- During the last 3 years, the maximum days under water is 64 days, which is smaller, thus better than the value of 139 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (43 days) in the period of the last 5 years, the average days under water of 11 days of iShares Short Maturity Bond ETF is lower, thus better.
- During the last 3 years, the average time in days below previous high water mark is 10 days, which is lower, thus better than the value of 39 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 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.