iShares Global Industrials ETF (EXI)

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.'

• Looking at the total return, or increase in value of 96.9% in the last 5 years of iShares Global Industrials ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (111.4%)
• Looking at total return in of 73.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (66.9%).

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 14.6% in the last 5 years of iShares Global Industrials ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (16.2%)
• Compared with SPY (18.7%) in the period of the last 3 years, the annual return (CAGR) of 20.2% is greater, thus better.

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.'

• Looking at the volatility of 16.8% in the last 5 years of iShares Global Industrials ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.3%)
• Looking at volatility in of 16.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.9%).

DownVol:

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

• Looking at the downside deviation of 11.4% in the last 5 years of iShares Global Industrials ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (11.9%)
• Compared with SPY (11.2%) in the period of the last 3 years, the downside risk of 10.9% is lower, thus better.

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.'

• Looking at the risk / return profile (Sharpe) of 0.72 in the last 5 years of iShares Global Industrials ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.79)
• Looking at risk / return profile (Sharpe) in of 1.08 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.96).

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.'

• Looking at the downside risk / excess return profile of 1.06 in the last 5 years of iShares Global Industrials ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.15)
• Compared with SPY (1.44) in the period of the last 3 years, the downside risk / excess return profile of 1.63 is higher, thus better.

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.'

• The Ulcer Ratio over 5 years of iShares Global Industrials ETF is 8.02 , which is lower, thus better compared to the benchmark SPY (8.43 ) in the same period.
• Looking at Ulcer Ratio in of 3.89 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (4.21 ).

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 DrawDown over 5 years of iShares Global Industrials ETF is -27.2 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high in of -14.4 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-18.8 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 (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 380 days of iShares Global Industrials ETF is lower, thus better.
• Looking at maximum days under water in of 100 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (97 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 79 days in the last 5 years of iShares Global Industrials ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (120 days)
• Looking at average time in days below previous high water mark in of 24 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (27 days).