SPDR S&P Global Natural Resources ETF (GNR)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or performance of 42.6% 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 (63%)
• Looking at total return in of 57.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (33.5%).

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.'

• The annual return (CAGR) over 5 years of SPDR S&P Global Natural Resources ETF is 7.4%, which is lower, thus worse compared to the benchmark SPY (10.3%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 16.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (10.1%).

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 (21.6%) in the period of the last 5 years, the 30 days standard deviation of 26.1% of SPDR S&P Global Natural Resources ETF is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 31%, which is greater, thus worse than the value of 25.1% 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 19.1% in the last 5 years of SPDR S&P Global Natural Resources ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.6%)
• During the last 3 years, the downside deviation is 22.7%, which is higher, thus worse than the value of 18.1% from the benchmark.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.19 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 (0.36)
• During the last 3 years, the risk / return profile (Sharpe) is 0.44, which is larger, thus better than the value of 0.3 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the excess return divided by the downside deviation of 0.25 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 (0.5)
• During the last 3 years, the downside risk / excess return profile is 0.61, which is larger, thus better than the value of 0.42 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 14 in the last 5 years of SPDR S&P Global Natural Resources ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.88 )
• Looking at Ulcer Ratio in of 12 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (11 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -48.6 days of SPDR S&P Global Natural Resources ETF is lower, thus worse.
• Looking at maximum reduction from previous high in of -42.3 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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.'

• Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum days under water of 661 days of SPDR S&P Global Natural Resources ETF is greater, thus worse.
• Looking at maximum days under water in of 199 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (273 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.'

• Looking at the average days under water of 209 days in the last 5 years of SPDR S&P Global Natural Resources ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (57 days)
• Compared with SPY (73 days) in the period of the last 3 years, the average days below previous high of 74 days is higher, thus worse.