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:
  • Looking at the total return, or increase in value of 10.8% in the last 5 years of iShares TIPS Bond ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (66.9%)
  • During the last 3 years, the total return is 7.7%, which is smaller, thus worse than the value of 50.6% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual return (CAGR) of 2.1% of iShares TIPS Bond ETF is lower, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of 2.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14.7%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • Looking at the historical 30 days volatility of 4.3% in the last 5 years of iShares TIPS Bond ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.5%)
  • During the last 3 years, the historical 30 days volatility is 3.6%, which is lower, thus better than the value of 12.8% from the benchmark.

DownVol:

'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:
  • Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside deviation of 4.4% of iShares TIPS Bond ETF is smaller, thus better.
  • Looking at downside volatility in of 3.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.7%).

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 risk / return profile (Sharpe) of -0.1 in the last 5 years of iShares TIPS Bond ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
  • Looking at ratio of return and volatility (Sharpe) in of 0.01 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.95).

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:
  • The downside risk / excess return profile over 5 years of iShares TIPS Bond ETF is -0.1, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
  • Looking at ratio of annual return and downside deviation in of 0.01 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.83).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Index of 2.01 of iShares TIPS Bond ETF is lower, thus better.
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Index of 1.23 is smaller, thus better.

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:
  • Looking at the maximum reduction from previous high 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)
  • Looking at maximum reduction from previous high in of -3.3 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-19.3 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Which means for our asset as example:
  • Looking at the maximum days under water 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)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 204 days is larger, thus worse.

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 (42 days) in the period of the last 5 years, the average time in days below previous high water mark of 111 days of iShares TIPS Bond ETF is greater, thus worse.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 58 days is greater, thus worse.

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 (%)

  • Note that yearly returns do not equal 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.