Description of SPDR S&P Global Natural Resources ETF

SPDR S&P Global Natural Resources ETF

Statistics of SPDR S&P Global Natural Resources ETF (YTD)

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TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of SPDR S&P Global Natural Resources ETF is -1.4%, which is smaller, thus worse compared to the benchmark SPY (66%) in the same period.
  • During the last 3 years, the total return is 25.6%, which is lower, thus worse than the value of 45.6% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:
  • Looking at the annual performance (CAGR) of -0.3% in the last 5 years of SPDR S&P Global Natural Resources ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (10.7%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 7.9%, which is lower, thus worse than the value of 13.3% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of SPDR S&P Global Natural Resources ETF is 17.9%, which is larger, thus worse compared to the benchmark SPY (13.4%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 14.5%, which is larger, thus worse than the value of 12.3% from the benchmark.

DownVol:

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

Applying this definition to our asset in some examples:
  • The downside volatility over 5 years of SPDR S&P Global Natural Resources ETF is 18.7%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • Compared with SPY (13.8%) in the period of the last 3 years, the downside volatility of 15.7% is larger, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Using this definition on our asset we see for example:
  • Looking at the risk / return profile (Sharpe) of -0.15 in the last 5 years of SPDR S&P Global Natural Resources ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.61)
  • Compared with SPY (0.88) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.37 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the downside risk / excess return profile of -0.15 of SPDR S&P Global Natural Resources ETF is lower, thus worse.
  • Looking at ratio of annual return and downside deviation in of 0.34 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.78).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Ratio of 19 of SPDR S&P Global Natural Resources ETF is greater, thus worse.
  • Compared with SPY (4.04 ) in the period of the last 3 years, the Ulcer Ratio of 7.37 is greater, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -46.1 days of SPDR S&P Global Natural Resources ETF is lower, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -23 days is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 863 days of SPDR S&P Global Natural Resources ETF is greater, thus worse.
  • During the last 3 years, the maximum days under water is 292 days, which is higher, thus worse than the value of 139 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average time in days below previous high water mark of 337 days of SPDR S&P Global Natural Resources ETF is greater, thus worse.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 81 days is greater, thus worse.

Performance of SPDR S&P Global Natural Resources ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of SPDR S&P Global Natural Resources ETF
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Allocations

Returns of SPDR S&P Global Natural Resources ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of SPDR S&P Global Natural Resources ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.