iShares Short Maturity Bond ETF (NEAR)

TotalReturn:

'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.'

• The total return, or increase in value over 5 years of iShares Short Maturity Bond ETF is 8.9%, which is lower, thus worse compared to the benchmark SPY (67.8%) in the same period.
• During the last 3 years, the total return, or increase in value is 4.6%, which is lower, thus worse than the value of 44.5% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of iShares Short Maturity Bond ETF is 1.7%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Compared with SPY (13.1%) in the period of the last 3 years, the annual performance (CAGR) of 1.5% is lower, thus worse.

Volatility:

'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.'

• 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 (21.4%)
• Looking at 30 days standard deviation in of 0.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.8%).

DownVol:

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

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside deviation of 2.9% of iShares Short Maturity Bond ETF is lower, thus better.
• Compared with SPY (13.3%) in the period of the last 3 years, the downside deviation of 0.4% is smaller, thus better.

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.'

• Looking at the risk / return profile (Sharpe) of -0.24 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 (0.39)
• Compared with SPY (0.56) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -1.75 is lower, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of iShares Short Maturity Bond ETF is -0.26, which is smaller, thus worse compared to the benchmark SPY (0.55) in the same period.
• Looking at excess return divided by the downside deviation in of -2.76 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

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.'

• Looking at the Ulcer Index of 0.76 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 (9.46 )
• During the last 3 years, the Ulcer Ratio is 0.47 , which is lower, thus better than the value of 10 from the benchmark.

MaxDD:

'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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -9.6 days of iShares Short Maturity Bond ETF is greater, thus better.
• Looking at maximum drop from peak to valley in of -1.3 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-24.5 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 days below previous high over 5 years of iShares Short Maturity Bond ETF is 302 days, which is lower, thus better compared to the benchmark SPY (352 days) in the same period.
• Looking at maximum days below previous high in of 302 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (352 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 (78 days) in the period of the last 5 years, the average time in days below previous high water mark of 67 days of iShares Short Maturity Bond ETF is smaller, thus better.
• During the last 3 years, the average days under water is 85 days, which is lower, thus better than the value of 102 days from the benchmark.