'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.'

Using this definition on our asset we see for example:- Looking at the total return, or increase in value of 4.8% 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 (94.8%)
- Compared with SPY (31.6%) in the period of the last 3 years, the total return of -0.7% is smaller, thus worse.

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:- The annual performance (CAGR) over 5 years of iShares 1-3 Year Treasury Bond ETF is 0.9%, which is lower, thus worse compared to the benchmark SPY (14.3%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of -0.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.6%).

'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:- Looking at the historical 30 days volatility of 1.9% 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 (20.9%)
- During the last 3 years, the 30 days standard deviation is 2.2%, which is smaller, thus better than the value of 17.3% from the benchmark.

'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 risk of 1.2% 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 (15%)
- During the last 3 years, the downside risk is 1.5%, which is lower, thus better than the value of 12.1% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the Sharpe Ratio of -0.83 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 (0.56)
- During the last 3 years, the risk / return profile (Sharpe) is -1.23, which is lower, thus worse than the value of 0.41 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The excess return divided by the downside deviation over 5 years of iShares 1-3 Year Treasury Bond ETF is -1.28, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
- During the last 3 years, the ratio of annual return and downside deviation is -1.84, which is lower, thus worse than the value of 0.59 from the benchmark.

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:- Looking at the Ulcer Ratio of 2.27 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 (9.33 )
- Looking at Ulcer Ratio in of 2.93 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -5.7 days of iShares 1-3 Year Treasury Bond ETF is greater, 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) in days.'

Applying this definition to our asset in some examples:- Looking at the maximum days below previous high of 676 days in the last 5 years of iShares 1-3 Year Treasury Bond ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
- During the last 3 years, the maximum days below previous high is 676 days, which is larger, thus worse than the value of 488 days from the benchmark.

'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:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 207 days of iShares 1-3 Year Treasury Bond ETF is greater, thus worse.
- Looking at average days below previous high in of 310 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (179 days).

Historical returns have been extended using synthetic data.
[Show Details]

- 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.