iShares 20+ Year Treasury Bond ETF (TLT)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (110.7%) in the period of the last 5 years, the total return, or increase in value of -39.8% of iShares 20+ Year Treasury Bond ETF is lower, thus worse.
• Looking at total return in of -14.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (66.5%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (16.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -9.7% of iShares 20+ Year Treasury Bond ETF is smaller, thus worse.
• Compared with SPY (18.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -5.2% 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.'

• The 30 days standard deviation over 5 years of iShares 20+ Year Treasury Bond ETF is 16.2%, which is lower, thus better compared to the benchmark SPY (17.5%) in the same period.
• Looking at 30 days standard deviation in of 16.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.5%).

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 (12.1%) in the period of the last 5 years, the downside volatility of 11.7% of iShares 20+ Year Treasury Bond ETF is lower, thus better.
• During the last 3 years, the downside volatility is 12%, which is higher, thus worse than the value of 11.6% 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.'

• The risk / return profile (Sharpe) over 5 years of iShares 20+ Year Treasury Bond ETF is -0.75, which is smaller, thus worse compared to the benchmark SPY (0.78) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.46 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.92).

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.'

• The ratio of annual return and downside deviation over 5 years of iShares 20+ Year Treasury Bond ETF is -1.04, which is smaller, thus worse compared to the benchmark SPY (1.13) in the same period.
• Looking at excess return divided by the downside deviation in of -0.64 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.4).

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.'

• Looking at the Ulcer Ratio of 32 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 (8.48 )
• Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Index of 17 is larger, 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.'

• Looking at the maximum drop from peak to valley of -48.4 days 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 (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -28.5 days is smaller, thus worse.

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 time in days below previous high water mark over 5 years of iShares 20+ Year Treasury Bond ETF is 1236 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 735 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (199 days).

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 613 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 (120 days)
• Looking at average time in days below previous high water mark in of 363 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (47 days).