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.'

• Looking at the total return, or increase in value of -34.9% 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 (143%)
• During the last 3 years, the total return is -26.3%, which is lower, thus worse than the value of 39% 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.'

• Compared with the benchmark SPY (19.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -8.3% of iShares 20+ Year Treasury Bond ETF is smaller, thus worse.
• Compared with SPY (11.7%) in the period of the last 3 years, the annual return (CAGR) of -9.7% is lower, thus worse.

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 (19.6%) in the period of the last 5 years, the historical 30 days volatility of 17.5% of iShares 20+ Year Treasury Bond ETF is smaller, thus better.
• Looking at historical 30 days volatility in of 17.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.1%).

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.'

• Looking at the downside volatility of 12.4% 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 (13.5%)
• Compared with SPY (12%) in the period of the last 3 years, the downside risk of 12.6% is larger, thus worse.

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.'

• Compared with the benchmark SPY (0.87) in the period of the last 5 years, the Sharpe Ratio of -0.62 of iShares 20+ Year Treasury Bond ETF is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is -0.7, which is lower, thus worse than the value of 0.54 from the benchmark.

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.'

• Compared with the benchmark SPY (1.26) in the period of the last 5 years, the downside risk / excess return profile of -0.87 of iShares 20+ Year Treasury Bond ETF is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.97, which is smaller, thus worse than the value of 0.77 from the benchmark.

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.'

• The Ulcer Index over 5 years of iShares 20+ Year Treasury Bond ETF is 30 , which is greater, thus worse compared to the benchmark SPY (8.32 ) in the same period.
• During the last 3 years, the Downside risk index is 24 , which is greater, thus worse than the value of 8.6 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of iShares 20+ Year Treasury Bond ETF is -48.4 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -35.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-22.1 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.'

• Looking at the maximum time in days below previous high water mark of 1156 days in the last 5 years of iShares 20+ Year Treasury Bond ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (325 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 752 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.'

• Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average time in days below previous high water mark of 538 days of iShares 20+ Year Treasury Bond ETF is higher, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 377 days, which is greater, thus worse than the value of 90 days from the benchmark.