'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 12.3% 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 (94.8%)
- Compared with SPY (31.6%) in the period of the last 3 years, the total return of 8.2% is lower, thus worse.

'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:- Looking at the annual performance (CAGR) of 2.4% 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 (14.3%)
- Compared with SPY (9.6%) in the period of the last 3 years, the annual performance (CAGR) of 2.7% is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- The volatility over 5 years of iShares Short Maturity Bond ETF is 3.3%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
- Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 0.9% is lower, thus better.

'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:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 2.9% of iShares Short Maturity Bond ETF is smaller, thus better.
- During the last 3 years, the downside deviation is 0.6%, which is lower, thus better than the value of 12.1% from the benchmark.

'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:- Looking at the risk / return profile (Sharpe) of -0.04 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 (0.56)
- Looking at ratio of return and volatility (Sharpe) in of 0.16 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.79) in the period of the last 5 years, the excess return divided by the downside deviation of -0.05 of iShares Short Maturity Bond ETF is lower, thus worse.
- Looking at ratio of annual return and downside deviation in of 0.27 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.59).

'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.'

Applying this definition to our asset in some examples:- The Ulcer Ratio over 5 years of iShares Short Maturity Bond ETF is 0.76 , which is lower, thus better compared to the benchmark SPY (9.33 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 0.48 is lower, 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.'

Using this definition on our asset we see for 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 larger, thus better in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum drop from peak to valley is -1.3 days, which is greater, thus better than the value of -24.5 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'

Applying this definition to our asset in some examples:- 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 (488 days) in the same period.
- Looking at maximum time in days below previous high water mark in of 302 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (488 days).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (123 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 lower, thus better.
- Compared with SPY (179 days) in the period of the last 3 years, the average days below previous high of 88 days is lower, thus better.

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.