iShares TIPS Bond ETF (TIP)

TotalReturn:

'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.'

• The total return, or increase in value over 5 years of iShares TIPS Bond ETF is 6.7%, which is lower, thus worse compared to the benchmark SPY (110.6%) in the same period.
• Looking at total return in of 14.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (92.2%).

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.'

• Compared with the benchmark SPY (16.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 1.3% of iShares TIPS Bond ETF is smaller, thus worse.
• During the last 3 years, the annual return (CAGR) is 4.6%, which is lower, thus worse than the value of 24.5% from the benchmark.

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.'

• Looking at the historical 30 days volatility of 6.3% in the last 5 years of iShares TIPS Bond ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17.2%)
• Compared with SPY (16.3%) in the period of the last 3 years, the 30 days standard deviation of 5.9% is lower, thus better.

DownVol:

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

• Looking at the downside deviation of 4.4% in the last 5 years of iShares TIPS Bond ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (11.8%)
• During the last 3 years, the downside volatility is 3.9%, which is lower, thus better than the value of 10.5% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of iShares TIPS Bond ETF is -0.19, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (1.35) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.36 is lower, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of iShares TIPS Bond ETF is -0.27, which is smaller, thus worse compared to the benchmark SPY (1.15) in the same period.
• Compared with SPY (2.09) in the period of the last 3 years, the downside risk / excess return profile of 0.54 is smaller, thus worse.

Ulcer:

'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.'

• Compared with the benchmark SPY (8.43 ) in the period of the last 5 years, the Ulcer Index of 7.67 of iShares TIPS Bond ETF is smaller, thus better.
• During the last 3 years, the Ulcer Index is 2.08 , which is lower, thus better than the value of 3.62 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.'

• The maximum drop from peak to valley over 5 years of iShares TIPS Bond ETF is -14.5 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -6.3 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 days).

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.'

• Looking at the maximum days below previous high of 980 days in the last 5 years of iShares TIPS Bond ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 290 days is larger, thus worse.

AveDuration:

'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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 403 days of iShares TIPS Bond ETF is larger, thus worse.
• Compared with SPY (21 days) in the period of the last 3 years, the average time in days below previous high water mark of 78 days is greater, thus worse.