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.'

• The total return, or performance over 5 years of iShares Global Industrials ETF is 82.6%, which is smaller, thus worse compared to the benchmark SPY (89.1%) in the same period.
• Looking at total return, or performance in of 74.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (78.1%).

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.'

• The annual return (CAGR) over 5 years of iShares Global Industrials ETF is 12.9%, which is smaller, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Compared with SPY (21.4%) in the period of the last 3 years, the annual performance (CAGR) of 20.5% is lower, thus worse.

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 historical 30 days volatility of 16.5% in the last 5 years of iShares Global Industrials ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the 30 days standard deviation is 15.1%, which is lower, thus better than the value of 15.2% from the benchmark.

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 11.3% in the last 5 years of iShares Global Industrials ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (11.8%)
• Compared with SPY (10.2%) in the period of the last 3 years, the downside volatility of 10.1% 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.'

• Compared with the benchmark SPY (0.65) in the period of the last 5 years, the Sharpe Ratio of 0.63 of iShares Global Industrials ETF is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 1.19 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.24).

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.'

• Compared with the benchmark SPY (0.94) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.92 of iShares Global Industrials ETF is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 1.77, which is lower, thus worse than the value of 1.85 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 8.02 of iShares Global Industrials ETF is lower, thus better.
• Looking at Downside risk index in of 3.42 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (3.52 ).

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 -14.4 days in the period of the last 3 years, we see it is relatively greater, 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'

• Looking at the maximum days under water 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 days below previous high in of 100 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 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.'

• The average days below previous high over 5 years of iShares Global Industrials ETF is 79 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days under water is 23 days, which is higher, thus worse than the value of 21 days from the benchmark.