iShares Short Maturity Bond ETF (NEAR)

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.'

• Compared with the benchmark SPY (109.8%) in the period of the last 5 years, the total return, or increase in value of 19.1% of iShares Short Maturity Bond ETF is lower, thus worse.
• Looking at total return, or increase in value in of 16.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (42.5%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual return (CAGR) of 3.6% 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 (16%)
• Compared with SPY (12.6%) in the period of the last 3 years, the annual return (CAGR) of 5.3% 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 (17.9%) in the period of the last 5 years, the historical 30 days volatility of 1.2% of iShares Short Maturity Bond ETF is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 1.5%, which is smaller, thus better than the value of 18.4% from the benchmark.

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 (12.5%) in the period of the last 5 years, the downside risk of 0.8% of iShares Short Maturity Bond ETF is lower, thus better.
• During the last 3 years, the downside risk is 0.9%, which is lower, thus better than the value of 12.6% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the risk / return profile (Sharpe) of 0.89 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 (0.75)
• Compared with SPY (0.55) in the period of the last 3 years, the Sharpe Ratio of 1.88 is higher, thus better.

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 downside risk / excess return profile over 5 years of iShares Short Maturity Bond ETF is 1.41, which is greater, thus better compared to the benchmark SPY (1.08) in the same period.
• Looking at ratio of annual return and downside deviation in of 2.94 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.8).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of 0.4 of iShares Short Maturity Bond ETF is lower, thus better.
• Looking at Ulcer Ratio in of 0.21 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (5.54 ).

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.'

• Looking at the maximum reduction from previous high of -1.3 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 (-24.5 days)
• During the last 3 years, the maximum drop from peak to valley is -1.2 days, which is greater, thus better than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum time in days below previous high water mark of 302 days 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 (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 68 days, which is smaller, thus better than the value of 199 days from the benchmark.

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 (119 days) in the period of the last 5 years, the average days under water of 62 days of iShares Short Maturity Bond ETF is smaller, thus better.
• Looking at average days under water in of 14 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (44 days).