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%) in the period of the last 5 years, the total return, or increase in value of 30.7% of iShares 20+ Year Treasury Bond ETF is lower, thus worse.
• During the last 3 years, the total return, or performance is 2.8%, which is lower, thus worse than the value of 45.6% 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.'

• Looking at the annual performance (CAGR) of 5.5% 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 (10.7%)
• Compared with SPY (13.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 0.9% is lower, thus worse.

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.'

• Compared with the benchmark SPY (13.4%) in the period of the last 5 years, the historical 30 days volatility of 11.8% of iShares 20+ Year Treasury Bond ETF is smaller, thus better.
• During the last 3 years, the historical 30 days volatility is 10%, which is smaller, thus better than the value of 12.3% from the benchmark.

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 12.7% 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 (14.6%)
• Compared with SPY (13.8%) in the period of the last 3 years, the downside risk of 10.8% is lower, thus better.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The Sharpe Ratio over 5 years of iShares 20+ Year Treasury Bond ETF is 0.25, which is lower, thus worse compared to the benchmark SPY (0.61) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is -0.16, which is lower, thus worse than the value of 0.88 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.'

• Looking at the excess return divided by the downside deviation of 0.24 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 (0.56)
• Looking at downside risk / excess return profile in of -0.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.78).

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.'

• Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Ratio of 9.96 of iShares 20+ Year Treasury Bond ETF is greater, thus worse.
• Compared with SPY (4.04 ) in the period of the last 3 years, the Ulcer Ratio of 10 is higher, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of iShares 20+ Year Treasury Bond ETF is -17.9 days, which is larger, thus better compared to the benchmark SPY (-19.3 days) in the same period.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -16.7 days is greater, 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). 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'

• The maximum days under water over 5 years of iShares 20+ Year Treasury Bond ETF is 749 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
• Looking at maximum days below previous high in of 712 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

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.'

• Looking at the average days under water of 280 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 (41 days)
• Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 340 days is larger, thus worse.