'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:- Looking at the total return, or increase in value of 4.5% 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 (58.9%)
- Looking at total return, or increase in value in of -1.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (33.9%).

'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:- 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 (9.7%)
- Looking at annual performance (CAGR) in of -0.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.2%).

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of iShares 1-3 Year Treasury Bond ETF is 1.4%, which is lower, thus better compared to the benchmark SPY (21.6%) in the same period.
- Compared with SPY (25%) in the period of the last 3 years, the 30 days standard deviation of 1.6% 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 (15.7%) in the period of the last 5 years, the downside risk of 1% of iShares 1-3 Year Treasury Bond ETF is lower, thus better.
- Compared with SPY (18.1%) in the period of the last 3 years, the downside volatility of 1.1% is lower, thus better.

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:- The Sharpe Ratio over 5 years of iShares 1-3 Year Treasury Bond ETF is -1.14, which is lower, thus worse compared to the benchmark SPY (0.33) in the same period.
- Looking at Sharpe Ratio in of -1.81 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.31).

'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.'

Using this definition on our asset we see for example:- The excess return divided by the downside deviation over 5 years of iShares 1-3 Year Treasury Bond ETF is -1.68, which is lower, thus worse compared to the benchmark SPY (0.46) in the same period.
- Compared with SPY (0.43) in the period of the last 3 years, the downside risk / excess return profile of -2.58 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.'

Which means for our asset as example:- Compared with the benchmark SPY (8.91 ) in the period of the last 5 years, the Ulcer Ratio of 1.82 of iShares 1-3 Year Treasury Bond ETF is lower, thus better.
- Compared with SPY (11 ) in the period of the last 3 years, the Downside risk index of 2.34 is lower, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum drop from peak to valley of -5.7 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)
- Looking at maximum DrawDown in of -5.7 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 days).

'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:- Looking at the maximum days under water of 377 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 (271 days)
- Looking at maximum days under water in of 377 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (271 days).

'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:- Looking at the average days below previous high of 81 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 (60 days)
- During the last 3 years, the average time in days below previous high water mark is 117 days, which is larger, thus worse than the value of 72 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.