Description

The investment seeks to track the investment results of the ICE U.S. Treasury 1-3 Year Bond Index (the underlying index). The fund generally invests at least 90% of its assets in the bonds of the underlying index and at least 95% of its assets in U.S. government bonds. The underlying index measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to one year and less than three years.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'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 investment’s overall performance.'

Applying this definition to our asset in some examples:
  • The total return over 5 years of iShares 1-3 Year Treasury Bond ETF is 8.3%, which is lower, thus worse compared to the benchmark SPY (116.9%) in the same period.
  • Compared with SPY (63.4%) in the period of the last 3 years, the total return, or performance of 8.5% is lower, thus worse.

CAGR:

'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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of iShares 1-3 Year Treasury Bond ETF is 1.6%, which is lower, thus worse compared to the benchmark SPY (16.8%) in the same period.
  • Looking at compounded annual growth rate (CAGR) in of 2.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (17.8%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 1% of iShares 1-3 Year Treasury Bond ETF is lower, thus better.
  • Looking at 30 days standard deviation in of 1.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (22.5%).

DownVol:

'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.'

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 0.6% 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 (13.6%)
  • Compared with SPY (16.3%) in the period of the last 3 years, the downside volatility of 0.6% 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.'

Which means for our asset as example:
  • Looking at the Sharpe Ratio of -0.88 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 (0.76)
  • Looking at ratio of return and volatility (Sharpe) in of 0.23 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.68).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:
  • Compared with the benchmark SPY (1.05) in the period of the last 5 years, the downside risk / excess return profile of -1.46 of iShares 1-3 Year Treasury Bond ETF is smaller, thus worse.
  • Looking at ratio of annual return and downside deviation in of 0.4 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.94).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (5.58 ) in the period of the last 5 years, the Ulcer Index of 0.41 of iShares 1-3 Year Treasury Bond ETF is smaller, thus better.
  • During the last 3 years, the Ulcer Ratio is 0.15 , which is lower, thus better than the value of 6.83 from the benchmark.

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.'

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 reduction from previous high of -1.1 days of iShares 1-3 Year Treasury Bond ETF is higher, thus better.
  • 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.

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.'

Using this definition on our asset we see for 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 larger, thus worse.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 122 days is lower, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average time in days below previous high water mark of 89 days of iShares 1-3 Year Treasury Bond ETF is larger, thus worse.
  • Compared with SPY (35 days) in the period of the last 3 years, the average days under water of 25 days is lower, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • 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.