iShares TIPS Bond ETF (TIP)

TotalReturn:

'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.'

• The total return, or increase in value over 5 years of iShares TIPS Bond ETF is 9.2%, which is lower, thus worse compared to the benchmark SPY (57.1%) in the same period.
• Compared with SPY (32%) in the period of the last 3 years, the total return of -7.6% is lower, thus worse.

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.'

• The compounded annual growth rate (CAGR) over 5 years of iShares TIPS Bond ETF is 1.8%, which is lower, thus worse compared to the benchmark SPY (9.5%) in the same period.
• During the last 3 years, the annual return (CAGR) is -2.6%, which is lower, thus worse than the value of 9.7% from the benchmark.

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.'

• The volatility over 5 years of iShares TIPS Bond ETF is 7%, which is lower, thus better compared to the benchmark SPY (21.5%) in the same period.
• Looking at historical 30 days volatility in of 7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.9%).

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.'

• Looking at the downside deviation of 4.8% in the last 5 years of iShares TIPS Bond ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.5%)
• Looking at downside risk in of 5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.5%).

Sharpe:

'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.'

• 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 (0.32)
• Looking at risk / return profile (Sharpe) in of -0.73 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of -0.15 in the last 5 years of iShares TIPS Bond ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.45)
• Looking at excess return divided by the downside deviation in of -1.03 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.58).

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.'

• The Downside risk index over 5 years of iShares TIPS Bond ETF is 5.89 , which is lower, thus better compared to the benchmark SPY (9.57 ) in the same period.
• During the last 3 years, the Downside risk index is 7.53 , which is smaller, thus better than the value of 10 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -14.5 days of iShares TIPS Bond ETF is higher, thus better.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -14.5 days is higher, thus better.

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 476 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 (439 days)
• Looking at maximum time in days below previous high water mark in of 476 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (439 days).

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.'

• Compared with the benchmark SPY (106 days) in the period of the last 5 years, the average days below previous high of 112 days of iShares TIPS Bond ETF is larger, thus worse.
• Compared with SPY (149 days) in the period of the last 3 years, the average days under water of 167 days is higher, thus worse.