iShares 20+ Year Treasury Bond ETF (TLT)

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.'

• Compared with the benchmark SPY (66.2%) in the period of the last 5 years, the total return, or increase in value of 30.6% of iShares 20+ Year Treasury Bond ETF is lower, thus worse.
• During the last 3 years, the total return is 4.2%, which is lower, thus worse than the value of 45.7% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual return (CAGR) over 5 years of iShares 20+ Year Treasury Bond ETF is 5.5%, which is lower, thus worse compared to the benchmark SPY (10.7%) in the same period.
• Looking at annual performance (CAGR) in of 1.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.4%).

Volatility:

'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.'

• Looking at the historical 30 days volatility of 11.8% in the last 5 years of iShares 20+ Year Treasury Bond ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.3%)
• Looking at historical 30 days volatility in of 10.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.5%).

DownVol:

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

• Looking at the downside risk of 12.6% in the last 5 years of iShares 20+ Year Treasury Bond ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (14.6%)
• During the last 3 years, the downside risk is 11%, which is lower, thus better than the value of 14.1% from the benchmark.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.25 in the last 5 years of iShares 20+ Year Treasury Bond ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.62)
• During the last 3 years, the risk / return profile (Sharpe) is -0.11, which is lower, thus worse than the value of 0.87 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The downside risk / excess return profile over 5 years of iShares 20+ Year Treasury Bond ETF is 0.24, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
• Looking at downside risk / excess return profile in of -0.1 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.77).

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 20+ Year Treasury Bond ETF is 9.87 , which is higher, thus better 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 11 is larger, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum reduction from previous high of -17.9 days in the last 5 years of iShares 20+ Year Treasury 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 -17.9 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-19.3 days).

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.'

• The maximum days under water over 5 years of iShares 20+ Year Treasury Bond ETF is 681 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
• Compared with SPY (131 days) in the period of the last 3 years, the maximum days under water of 681 days is greater, 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.'

• Looking at the average days under water of 243 days in the last 5 years of iShares 20+ Year Treasury Bond ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (39 days)
• Compared with SPY (34 days) in the period of the last 3 years, the average days below previous high of 316 days is higher, thus worse.