'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (129.1%) in the period of the last 5 years, the total return, or performance of 7.7% of iShares 1-3 Year Treasury Bond ETF is smaller, thus worse.
- Looking at total return, or performance in of 7.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (71.3%).

'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.'

Applying this definition to our asset in some examples:- Looking at the compounded annual growth rate (CAGR) of 1.5% 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 (18.1%)
- Compared with SPY (19.7%) in the period of the last 3 years, the annual return (CAGR) of 2.4% 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:- Looking at the historical 30 days volatility of 1% 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 (18.7%)
- Looking at 30 days standard deviation in of 1.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.5%).

'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:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside deviation of 0.6% of iShares 1-3 Year Treasury Bond ETF is lower, thus better.
- During the last 3 years, the downside risk is 0.6%, which is smaller, thus better than the value of 16.3% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the Sharpe Ratio of -1.03 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 (0.83)
- During the last 3 years, the ratio of return and volatility (Sharpe) is -0.05, which is lower, thus worse than the value of 0.76 from the benchmark.

'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 (1.15) in the period of the last 5 years, the excess return divided by the downside deviation of -1.7 of iShares 1-3 Year Treasury Bond ETF is lower, thus worse.
- Compared with SPY (1.05) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.09 is lower, thus worse.

'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:- Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Index of 0.38 of iShares 1-3 Year Treasury Bond ETF is lower, thus better.
- Looking at Downside risk index in of 0.15 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (6.38 ).

'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.'

Which means for our asset as example:- Looking at the maximum DrawDown of -1.1 days in the last 5 years of iShares 1-3 Year Treasury 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 DrawDown is -0.7 days, which is greater, 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:- Looking at the maximum days under water of 308 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 (139 days)
- Compared with SPY (119 days) in the period of the last 3 years, the maximum days under water of 122 days is greater, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the average time in days below previous high water mark of 68 days in the last 5 years of iShares 1-3 Year Treasury Bond ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (32 days)
- During the last 3 years, the average time in days below previous high water mark is 28 days, which is greater, thus worse than the value of 25 days from the benchmark.

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.