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.'

• Looking at the total return, or performance of -7.2% 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 (60.7%)
• Looking at total return, or performance in of -21.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (29.5%).

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.'

• Looking at the annual performance (CAGR) of -1.5% 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%)
• During the last 3 years, the annual return (CAGR) is -7.8%, which is lower, thus worse than the value of 9% from the benchmark.

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 30 days standard deviation of 15.4% 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 (20.8%)
• Looking at volatility in of 18.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (24%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 10.9% 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 (15.3%)
• During the last 3 years, the downside deviation is 12.8%, which is smaller, thus better than the value of 17.6% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of iShares 20+ Year Treasury Bond ETF is -0.26, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
• Looking at Sharpe Ratio in of -0.57 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.27).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.49) in the period of the last 5 years, the excess return divided by the downside deviation of -0.37 of iShares 20+ Year Treasury Bond ETF is lower, thus worse.
• Compared with SPY (0.37) in the period of the last 3 years, the downside risk / excess return profile of -0.8 is lower, thus worse.

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.'

• Looking at the Ulcer Index of 13 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 (7.52 )
• During the last 3 years, the Ulcer Ratio is 16 , which is larger, thus worse than the value of 8.81 from the benchmark.

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 -36.5 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high in of -36.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

• Compared with the benchmark SPY (182 days) in the period of the last 5 years, the maximum days under water of 539 days of iShares 20+ Year Treasury Bond ETF is larger, thus worse.
• During the last 3 years, the maximum days under water is 539 days, which is larger, thus worse than the value of 182 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 171 days, which is greater, thus worse compared to the benchmark SPY (45 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 205 days, which is larger, thus worse than the value of 43 days from the benchmark.