iShares 20+ Year Treasury Bond ETF (TLT)

TotalReturn:

'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.'

• The total return over 5 years of iShares 20+ Year Treasury Bond ETF is 34.2%, which is lower, thus worse compared to the benchmark SPY (67.2%) in the same period.
• Compared with SPY (50.7%) in the period of the last 3 years, the total return, or performance of 25.6% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual return (CAGR) of 6.1% of iShares 20+ Year Treasury Bond ETF is smaller, thus worse.
• Compared with SPY (14.7%) in the period of the last 3 years, the annual performance (CAGR) of 7.9% is smaller, thus worse.

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 12.1% 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 (13.5%)
• Looking at volatility in of 10.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.8%).

DownVol:

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

• Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside volatility of 13.1% of iShares 20+ Year Treasury Bond ETF is lower, thus better.
• Compared with SPY (14.7%) in the period of the last 3 years, the downside risk of 11% 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.'

• Looking at the risk / return profile (Sharpe) of 0.29 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 (0.62)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.52, which is lower, thus worse than the value of 0.95 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 excess return divided by the downside deviation over 5 years of iShares 20+ Year Treasury Bond ETF is 0.27, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.49, which is lower, thus worse than the value of 0.83 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 10 , which is larger, thus worse compared to the benchmark SPY (3.99 ) in the same period.
• Looking at Ulcer Ratio in of 4.26 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.09 ).

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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -17.9 days of iShares 20+ Year Treasury Bond ETF is greater, thus better.
• Looking at maximum DrawDown in of -10.7 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). 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 (187 days) in the period of the last 5 years, the maximum days below previous high of 749 days of iShares 20+ Year Treasury Bond ETF is greater, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 385 days is greater, thus worse.

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 time in days below previous high water mark of 281 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 (42 days)
• Looking at average time in days below previous high water mark in of 114 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).