'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (94.9%) in the period of the last 5 years, the total return, or performance of -22.8% of iShares 20+ Year Treasury Bond ETF is lower, thus worse.
- During the last 3 years, the total return is -29.2%, which is lower, thus worse than the value of 22.5% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The annual performance (CAGR) over 5 years of iShares 20+ Year Treasury Bond ETF is -5.1%, which is lower, thus worse compared to the benchmark SPY (14.3%) in the same period.
- Looking at annual performance (CAGR) in of -10.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (7%).

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:- The volatility over 5 years of iShares 20+ Year Treasury Bond ETF is 18%, which is smaller, thus better compared to the benchmark SPY (20.9%) in the same period.
- During the last 3 years, the volatility is 18%, which is greater, thus worse than the value of 17.5% from the benchmark.

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

Using this definition on our asset we see for example:- The downside deviation over 5 years of iShares 20+ Year Treasury Bond ETF is 12.7%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
- Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 12.9% is larger, thus worse.

'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:- The Sharpe Ratio over 5 years of iShares 20+ Year Treasury Bond ETF is -0.42, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
- Looking at Sharpe Ratio in of -0.75 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.26).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.79) in the period of the last 5 years, the downside risk / excess return profile of -0.6 of iShares 20+ Year Treasury Bond ETF is lower, thus worse.
- Compared with SPY (0.37) in the period of the last 3 years, the downside risk / excess return profile of -1.04 is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Downside risk index of 27 of iShares 20+ Year Treasury Bond ETF is greater, thus worse.
- 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 ).

'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 -48.4 days 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 (-33.7 days)
- Looking at maximum drop from peak to valley in of -43.7 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 days).

'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.'

Which means for our asset as example:- The maximum time in days below previous high water mark over 5 years of iShares 20+ Year Treasury Bond ETF is 1008 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 671 days is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 419 days of iShares 20+ Year Treasury Bond ETF is larger, thus worse.
- Compared with SPY (179 days) in the period of the last 3 years, the average days under water of 305 days is greater, thus worse.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of iShares 20+ Year Treasury Bond ETF are hypothetical and do not account for slippage, fees or taxes.