iShares Global Industrials ETF (EXI)

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 of 31.1% in the last 5 years of iShares Global Industrials ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (60.6%)
• During the last 3 years, the total return is 31%, which is lower, thus worse than the value of 38% 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.'

• Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual return (CAGR) of 5.6% of iShares Global Industrials ETF is smaller, thus worse.
• Compared with SPY (11.3%) in the period of the last 3 years, the annual return (CAGR) of 9.4% is lower, thus worse.

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.'

• Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the volatility of 21.7% of iShares Global Industrials ETF is larger, thus worse.
• During the last 3 years, the volatility is 17.4%, which is lower, thus better than the value of 17.9% from the benchmark.

DownVol:

'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.'

• The downside deviation over 5 years of iShares Global Industrials ETF is 15.6%, which is larger, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Looking at downside risk in of 11.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.5%).

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 Sharpe Ratio over 5 years of iShares Global Industrials ETF is 0.14, which is lower, thus worse compared to the benchmark SPY (0.35) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.4 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.49).

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.'

• Looking at the ratio of annual return and downside deviation of 0.2 in the last 5 years of iShares Global Industrials ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.48)
• During the last 3 years, the excess return divided by the downside deviation is 0.58, which is lower, thus worse than the value of 0.71 from the benchmark.

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 Downside risk index over 5 years of iShares Global Industrials ETF is 11 , which is larger, thus worse compared to the benchmark SPY (9.55 ) in the same period.
• During the last 3 years, the Ulcer Index is 9.86 , which is lower, thus better than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley 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.
• During the last 3 years, the maximum reduction from previous high is -27.2 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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.'

• The maximum time in days below previous high water mark over 5 years of iShares Global Industrials ETF is 380 days, which is lower, thus better compared to the benchmark SPY (431 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 380 days, which is lower, thus better than the value of 431 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 time in days below previous high water mark over 5 years of iShares Global Industrials ETF is 111 days, which is higher, thus worse compared to the benchmark SPY (105 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 110 days, which is lower, thus better than the value of 144 days from the benchmark.