Description of iShares TIPS Bond ETF

iShares TIPS Bond ETF

Statistics of iShares TIPS Bond ETF (YTD)

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

TotalReturn:

'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.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of iShares TIPS Bond ETF is 9.4%, which is smaller, thus worse compared to the benchmark SPY (66.2%) in the same period.
  • Looking at total return, or performance in of 6.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (45.7%).

CAGR:

'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.'

Applying this definition to our asset in some examples:
  • Looking at the compounded annual growth rate (CAGR) of 1.8% in the last 5 years of iShares TIPS Bond ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (10.7%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 2%, which is smaller, thus worse than the value of 13.4% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the historical 30 days volatility of 4.3% of iShares TIPS Bond ETF is smaller, thus better.
  • During the last 3 years, the volatility is 3.7%, which is lower, thus better than the value of 12.5% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the downside volatility of 4.4% in the last 5 years of iShares TIPS Bond ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (14.6%)
  • Looking at downside deviation in of 3.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.1%).

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.'

Applying this definition to our asset in some examples:
  • The ratio of return and volatility (Sharpe) over 5 years of iShares TIPS Bond ETF is -0.16, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
  • Looking at risk / return profile (Sharpe) in of -0.13 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.87).

Sortino:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.16 of iShares TIPS Bond ETF is lower, thus worse.
  • During the last 3 years, the ratio of annual return and downside deviation is -0.13, which is lower, thus worse than the value of 0.77 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The Downside risk index over 5 years of iShares TIPS Bond ETF is 2.09 , which is lower, thus worse compared to the benchmark SPY (3.96 ) in the same period.
  • Compared with SPY (4.01 ) in the period of the last 3 years, the Ulcer Ratio of 1.55 is lower, thus worse.

MaxDD:

'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.'

Using this definition on our asset we see for example:
  • Looking at the maximum drop from peak to valley of -5.3 days in the last 5 years of iShares TIPS Bond ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum drop from peak to valley is -4.6 days, which is larger, thus better than the value of -19.3 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:
  • Looking at the maximum time in days below previous high water mark of 323 days in the last 5 years of iShares TIPS Bond ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum time in days below previous high water mark is 293 days, which is greater, thus worse than the value of 131 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 114 days in the last 5 years of iShares TIPS Bond ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (39 days)
  • During the last 3 years, the average days below previous high is 109 days, which is larger, thus worse than the value of 34 days from the benchmark.

Performance of iShares TIPS Bond ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares TIPS Bond ETF
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Allocations

Returns of iShares TIPS Bond ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares TIPS 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.