iShares 1-3 Year Treasury Bond ETF (SHY)

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.'

• Compared with the benchmark SPY (86.7%) in the period of the last 5 years, the total return of 4.8% of iShares 1-3 Year Treasury Bond ETF is lower, thus worse.
• Looking at total return, or performance in of -0.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (25.1%).

CAGR:

'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.'

• Looking at the annual performance (CAGR) of 0.9% in the last 5 years of iShares 1-3 Year Treasury Bond ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.3%)
• Compared with SPY (7.8%) in the period of the last 3 years, the annual return (CAGR) of -0.2% is lower, thus worse.

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.'

• The volatility over 5 years of iShares 1-3 Year Treasury Bond ETF is 1.9%, which is smaller, 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 2.2% is lower, thus better.

DownVol:

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

• Looking at the downside risk of 1.2% in the last 5 years of iShares 1-3 Year Treasury Bond ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15%)
• Compared with SPY (12.1%) in the period of the last 3 years, the downside deviation of 1.5% 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.'

• Compared with the benchmark SPY (0.52) in the period of the last 5 years, the Sharpe Ratio of -0.83 of iShares 1-3 Year Treasury Bond ETF is smaller, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is -1.23, which is lower, thus worse than the value of 0.3 from the benchmark.

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 1-3 Year Treasury Bond ETF is -1.28, which is smaller, thus worse compared to the benchmark SPY (0.72) in the same period.
• Looking at ratio of annual return and downside deviation in of -1.84 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.43).

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.'

• Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 2.27 of iShares 1-3 Year Treasury Bond ETF is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 2.93 is lower, thus better.

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 reduction from previous high of -5.7 days of iShares 1-3 Year Treasury Bond ETF is higher, thus better.
• During the last 3 years, the maximum reduction from previous high is -5.7 days, which is larger, thus better than the value of -24.5 days from the benchmark.

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.'

• Looking at the maximum days under water of 681 days in the last 5 years of iShares 1-3 Year Treasury Bond ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 681 days is larger, thus worse.

AveDuration:

'The Average 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. 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.'

• The average time in days below previous high water mark over 5 years of iShares 1-3 Year Treasury Bond ETF is 210 days, which is higher, thus worse compared to the benchmark SPY (123 days) in the same period.
• During the last 3 years, the average days under water is 313 days, which is higher, thus worse than the value of 178 days from the benchmark.