SPDR S&P Global Natural Resources ETF (GNR)

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 (98.3%) in the period of the last 5 years, the total return of 49.4% of SPDR S&P Global Natural Resources ETF is lower, thus worse.
• Looking at total return, or increase in value in of 16.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (27.2%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of SPDR S&P Global Natural Resources ETF is 8.4%, which is smaller, thus worse compared to the benchmark SPY (14.7%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.3%, which is smaller, thus worse than the value of 8.4% from the benchmark.

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.'

• Looking at the 30 days standard deviation of 26.1% in the last 5 years of SPDR S&P Global Natural Resources ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (20.9%)
• During the last 3 years, the volatility is 21.3%, which is larger, thus worse than the value of 17.7% from the benchmark.

DownVol:

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

• The downside deviation over 5 years of SPDR S&P Global Natural Resources ETF is 19.1%, which is larger, thus worse compared to the benchmark SPY (14.9%) in the same period.
• Looking at downside volatility in of 15.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.4%).

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.'

• Looking at the Sharpe Ratio of 0.22 in the last 5 years of SPDR S&P Global Natural Resources ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
• During the last 3 years, the Sharpe Ratio is 0.13, which is lower, thus worse than the value of 0.33 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 ratio of annual return and downside deviation over 5 years of SPDR S&P Global Natural Resources ETF is 0.31, which is lower, thus worse compared to the benchmark SPY (0.82) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.18, which is smaller, thus worse than the value of 0.47 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.'

• Looking at the Downside risk index of 11 in the last 5 years of SPDR S&P Global Natural Resources ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.32 )
• Looking at Downside risk index in of 9.76 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -45.3 days of SPDR S&P Global Natural Resources ETF is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -25.7 days, which is smaller, 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 522 days of SPDR S&P Global Natural Resources ETF is larger, thus worse.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 522 days is higher, thus worse.

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.'

• Looking at the average time in days below previous high water mark of 152 days in the last 5 years of SPDR S&P Global Natural Resources ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (123 days)
• During the last 3 years, the average time in days below previous high water mark is 197 days, which is greater, thus worse than the value of 177 days from the benchmark.