'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.'

Using this definition on our asset we see for example:- The total return, or performance over 5 years of iShares 1-3 Year Treasury Bond ETF is 5.4%, which is smaller, thus worse compared to the benchmark SPY (80.1%) in the same period.
- During the last 3 years, the total return is -1.7%, which is smaller, thus worse than the value of 30.8% 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.'

Applying this definition to our asset in some examples:- Looking at the annual return (CAGR) of 1.1% in the last 5 years of iShares 1-3 Year Treasury Bond ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.5%)
- Compared with SPY (9.4%) in the period of the last 3 years, the annual performance (CAGR) of -0.6% 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.'

Which means for our asset as example:- Compared with the benchmark SPY (21.3%) in the period of the last 5 years, the volatility of 1.8% of iShares 1-3 Year Treasury Bond ETF is lower, thus better.
- Compared with SPY (17.6%) in the period of the last 3 years, the 30 days standard deviation of 2.1% is lower, thus better.

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

Applying this definition to our asset in some examples:- The downside deviation over 5 years of iShares 1-3 Year Treasury Bond ETF is 1.2%, which is smaller, thus better compared to the benchmark SPY (15.3%) in the same period.
- During the last 3 years, the downside risk is 1.4%, which is lower, thus better than the value of 12.3% 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.'

Applying this definition to our asset in some examples:- Looking at the risk / return profile (Sharpe) of -0.79 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 (0.47)
- Looking at Sharpe Ratio in of -1.47 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.39).

'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.'

Using this definition on our asset we see for example:- Looking at the downside risk / excess return profile of -1.22 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 (0.66)
- During the last 3 years, the ratio of annual return and downside deviation is -2.2, which is smaller, thus worse than the value of 0.56 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The Downside risk index over 5 years of iShares 1-3 Year Treasury Bond ETF is 2.26 , which is lower, thus better compared to the benchmark SPY (9.43 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 2.92 is lower, thus better.

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -5.7 days of iShares 1-3 Year Treasury Bond ETF is larger, thus better.
- During the last 3 years, the maximum drop from peak to valley is -5.7 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'

Which means for our asset as example:- The maximum days under water over 5 years of iShares 1-3 Year Treasury Bond ETF is 584 days, which is higher, thus worse compared to the benchmark SPY (478 days) in the same period.
- Compared with SPY (478 days) in the period of the last 3 years, the maximum days under water of 584 days is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- The average days below previous high over 5 years of iShares 1-3 Year Treasury Bond ETF is 163 days, which is higher, thus worse compared to the benchmark SPY (118 days) in the same period.
- Compared with SPY (173 days) in the period of the last 3 years, the average days below previous high of 236 days is larger, thus worse.

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.