'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investmentâ€™s overall performance.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (116.8%) in the period of the last 5 years, the total return of 8.7% of iShares 1-3 Year Treasury Bond ETF is smaller, thus worse.
- During the last 3 years, the total return, or performance is 8.4%, which is lower, thus worse than the value of 38.2% from the benchmark.

'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.'

Which means for our asset as example:- The annual return (CAGR) over 5 years of iShares 1-3 Year Treasury Bond ETF is 1.7%, which is lower, thus worse compared to the benchmark SPY (16.7%) in the same period.
- Compared with SPY (11.4%) in the period of the last 3 years, the annual return (CAGR) of 2.7% is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the volatility of 1% in the last 5 years of iShares 1-3 Year Treasury Bond ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (18.7%)
- Compared with SPY (22.9%) in the period of the last 3 years, the 30 days standard deviation of 1.1% is smaller, thus better.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 0.6% of iShares 1-3 Year Treasury Bond ETF is lower, thus better.
- Looking at downside 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 (16.8%).

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:- Compared with the benchmark SPY (0.76) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.8 of iShares 1-3 Year Treasury Bond ETF is smaller, thus worse.
- Compared with SPY (0.39) in the period of the last 3 years, the Sharpe Ratio of 0.2 is smaller, thus worse.

'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:- The ratio of annual return and downside deviation over 5 years of iShares 1-3 Year Treasury Bond ETF is -1.32, which is lower, thus worse compared to the benchmark SPY (1.05) in the same period.
- During the last 3 years, the excess return divided by the downside deviation is 0.35, which is smaller, thus worse than the value of 0.53 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Ratio of 0.41 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 (5.59 )
- During the last 3 years, the Ulcer Index is 0.16 , which is lower, thus better than the value of 7.15 from the benchmark.

'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.'

Which means for our asset as example:- The maximum drop from peak to valley over 5 years of iShares 1-3 Year Treasury Bond ETF is -1.1 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum drop from peak to valley is -0.7 days, which is larger, thus better than the value of -33.7 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) in days.'

Which means for our asset as example:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 308 days of iShares 1-3 Year Treasury Bond ETF is higher, thus worse.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 121 days is lower, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the average days below previous high of 88 days in the last 5 years of iShares 1-3 Year Treasury Bond ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (33 days)
- Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 25 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 1-3 Year Treasury 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.