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.'

• The total return, or increase in value over 5 years of iShares Global Industrials ETF is 33.7%, which is lower, thus worse compared to the benchmark SPY (67.9%) in the same period.
• During the last 3 years, the total return, or performance is 10.1%, which is smaller, thus worse than the value of 38.6% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of 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 (10.9%)
• Looking at annual return (CAGR) in of 3.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.5%).

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 19.5% in the last 5 years of iShares Global Industrials ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.7%)
• During the last 3 years, the volatility is 22.1%, which is larger, thus worse than the value of 21.5% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 14.3% in the last 5 years of iShares Global Industrials ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
• Looking at downside risk in of 16.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.7%).

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 (0.45) in the period of the last 5 years, the Sharpe Ratio of 0.18 of iShares Global Industrials ETF is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.03, which is lower, thus worse than the value of 0.42 from the benchmark.

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 downside risk / excess return profile over 5 years of iShares Global Industrials ETF is 0.24, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
• Compared with SPY (0.57) in the period of the last 3 years, the downside risk / excess return profile of 0.05 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.'

• Compared with the benchmark SPY (5.82 ) in the period of the last 5 years, the Ulcer Index of 8.65 of iShares Global Industrials ETF is larger, thus worse.
• During the last 3 years, the Ulcer Ratio is 10 , which is larger, thus worse than the value of 6.87 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 DrawDown over 5 years of iShares Global Industrials ETF is -39.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -39.6 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 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) in days.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 445 days of iShares Global Industrials ETF is higher, thus worse.
• Looking at maximum days under water in of 445 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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.'

• Compared with the benchmark SPY (43 days) in the period of the last 5 years, the average days under water of 117 days of iShares Global Industrials ETF is greater, thus worse.
• During the last 3 years, the average days below previous high is 150 days, which is higher, thus worse than the value of 39 days from the benchmark.