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 7.7% 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 (66.2%)
• Compared with SPY (45.7%) in the period of the last 3 years, the total return, or increase in value of 42.9% is lower, thus worse.

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.'

• Looking at the compounded annual growth rate (CAGR) of 1.5% 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 (10.7%)
• During the last 3 years, the annual return (CAGR) is 12.7%, which is lower, thus worse than the value of 13.4% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of SPDR S&P Global Natural Resources ETF is 17.8%, which is greater, thus worse compared to the benchmark SPY (13.3%) in the same period.
• Looking at 30 days standard deviation in of 16% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.5%).

DownVol:

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

• Looking at the downside deviation of 18.7% 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 (14.6%)
• During the last 3 years, the downside deviation is 17.6%, which is greater, thus worse than the value of 14.1% 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.'

• Compared with the benchmark SPY (0.62) in the period of the last 5 years, the Sharpe Ratio of -0.06 of SPDR S&P Global Natural Resources ETF is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.64, which is smaller, thus worse than the value of 0.87 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of SPDR S&P Global Natural Resources ETF is -0.05, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
• Looking at excess return divided by the downside deviation in of 0.58 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.77).

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 19 in the last 5 years of SPDR S&P Global Natural Resources ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (3.96 )
• Looking at Downside risk index in of 6.51 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (4.01 ).

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 reduction from previous high of -46.1 days 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 (-19.3 days)
• During the last 3 years, the maximum drop from peak to valley is -23 days, which is lower, thus worse than the value of -19.3 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). 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'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 877 days of SPDR S&P Global Natural Resources ETF is higher, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 211 days, which is larger, thus worse than the value of 131 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.'

• Looking at the average time in days below previous high water mark of 336 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 (39 days)
• During the last 3 years, the average days below previous high is 55 days, which is higher, thus worse than the value of 34 days from the benchmark.