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 of -33.5% 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 (124.1%)
• During the last 3 years, the total return is 5.3%, which is smaller, thus worse than the value of 84% 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.'

• The annual performance (CAGR) over 5 years of iShares 20+ Year Treasury Bond ETF is -7.9%, which is lower, thus worse compared to the benchmark SPY (17.6%) in the same period.
• During the last 3 years, the annual return (CAGR) is 1.7%, which is lower, thus worse than the value of 22.6% from the benchmark.

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 (17.1%) in the period of the last 5 years, the historical 30 days volatility of 16.2% of iShares 20+ Year Treasury Bond ETF is lower, thus better.
• During the last 3 years, the volatility is 15.8%, which is lower, thus better than the value of 16% from the benchmark.

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 (11.7%) in the period of the last 5 years, the downside deviation of 11.6% of iShares 20+ Year Treasury Bond ETF is lower, thus better.
• Compared with SPY (10.5%) in the period of the last 3 years, the downside risk of 11.1% is higher, 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 (0.88) in the period of the last 5 years, the Sharpe Ratio of -0.64 of iShares 20+ Year Treasury Bond ETF is smaller, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.05, which is smaller, thus worse than the value of 1.26 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.'

• Compared with the benchmark SPY (1.29) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.89 of iShares 20+ Year Treasury Bond ETF is smaller, thus worse.
• Compared with SPY (1.91) in the period of the last 3 years, the downside risk / excess return profile of -0.07 is lower, thus worse.

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.'

• Compared with the benchmark SPY (8.41 ) in the period of the last 5 years, the Ulcer Ratio of 30 of iShares 20+ Year Treasury Bond ETF is higher, thus worse.
• Looking at Downside risk index in of 11 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.62 ).

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 -45.3 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 (-24.5 days)
• Looking at maximum drop from peak to valley in of -22.4 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum time in days below previous high water mark of 1241 days in the last 5 years of iShares 20+ Year Treasury Bond ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 645 days, which is larger, thus worse than the value of 87 days from the benchmark.

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.'

• The average days under water over 5 years of iShares 20+ Year Treasury Bond ETF is 616 days, which is greater, thus worse compared to the benchmark SPY (121 days) in the same period.
• Compared with SPY (21 days) in the period of the last 3 years, the average time in days below previous high water mark of 285 days is greater, thus worse.