iShares 20+ Year Treasury Bond ETF (TLT)

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.'

• Compared with the benchmark SPY (96.4%) in the period of the last 5 years, the total return, or performance of -26.8% of iShares 20+ Year Treasury Bond ETF is smaller, thus worse.
• During the last 3 years, the total return, or performance is -35%, which is smaller, thus worse than the value of 28.9% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of -6% in the last 5 years of iShares 20+ Year Treasury Bond ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (14.5%)
• Looking at annual return (CAGR) in of -13.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.9%).

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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the historical 30 days volatility of 18% of iShares 20+ Year Treasury Bond ETF is lower, thus better.
• Looking at volatility in of 17.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.5%).

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.'

• The downside deviation over 5 years of iShares 20+ Year Treasury Bond ETF is 12.6%, which is smaller, thus better compared to the benchmark SPY (15%) in the same period.
• Looking at downside volatility in of 13% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.3%).

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.'

• The risk / return profile (Sharpe) over 5 years of iShares 20+ Year Treasury Bond ETF is -0.48, which is smaller, thus worse compared to the benchmark SPY (0.57) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.89 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.36).

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.'

• The ratio of annual return and downside deviation over 5 years of iShares 20+ Year Treasury Bond ETF is -0.68, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
• Looking at downside risk / excess return profile in of -1.23 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.52).

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 Ulcer Index over 5 years of iShares 20+ Year Treasury Bond ETF is 29 , which is larger, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Looking at Ulcer Ratio in of 29 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

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 -48.4 days of iShares 20+ Year Treasury Bond ETF is lower, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -41.4 days is smaller, thus worse.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1109 days of iShares 20+ Year Treasury Bond ETF is larger, thus worse.
• During the last 3 years, the maximum days below previous high is 753 days, which is higher, thus worse than the value of 488 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.'

• The average days below previous high over 5 years of iShares 20+ Year Treasury Bond ETF is 501 days, which is greater, thus worse compared to the benchmark SPY (122 days) in the same period.
• Looking at average days under water in of 377 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (177 days).