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.'

• Compared with the benchmark SPY (108.3%) in the period of the last 5 years, the total return of 112.8% of iShares Global Industrials ETF is greater, thus better.
• During the last 3 years, the total return, or performance is 58.6%, which is larger, thus better than the value of 49.1% 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 (15.8%) in the period of the last 5 years, the annual performance (CAGR) of 16.3% of iShares Global Industrials ETF is greater, thus better.
• Compared with SPY (14.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 16.7% is greater, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of iShares Global Industrials ETF is 17.5%, which is smaller, thus better compared to the benchmark SPY (17.9%) in the same period.
• Looking at volatility in of 17.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (18.1%).

DownVol:

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

• Looking at the downside risk of 12% in the last 5 years of iShares Global Industrials ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (12.4%)
• Compared with SPY (12.2%) in the period of the last 3 years, the downside volatility of 11.7% is lower, thus better.

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 Global Industrials ETF is 0.79, which is larger, thus better compared to the benchmark SPY (0.75) in the same period.
• Compared with SPY (0.65) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.82 is larger, thus better.

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 excess return divided by the downside deviation of 1.15 in the last 5 years of iShares Global Industrials ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (1.07)
• Compared with SPY (0.97) in the period of the last 3 years, the downside risk / excess return profile of 1.22 is larger, 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.'

• Compared with the benchmark SPY (8.49 ) in the period of the last 5 years, the Ulcer Index of 8.09 of iShares Global Industrials ETF is smaller, thus better.
• During the last 3 years, the Downside risk index is 5.01 , which is smaller, thus better than the value of 5.55 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum drop from peak to valley of -27.2 days in the last 5 years of iShares Global Industrials ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -17.4 days in the period of the last 3 years, we see it is relatively larger, 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) in days.'

• Looking at the maximum time in days below previous high water mark of 380 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 (488 days)
• Looking at maximum time in days below previous high water mark in of 100 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (199 days).

AveDuration:

'The Average 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. 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 (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 79 days of iShares Global Industrials ETF is smaller, thus better.
• During the last 3 years, the average days below previous high is 26 days, which is lower, thus better than the value of 46 days from the benchmark.