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 (62.7%) in the period of the last 5 years, the total return, or performance of 36.4% of SPDR S&P Global Natural Resources ETF is lower, thus worse.
• Looking at total return in of 40.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (34.7%).

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 performance (CAGR) over 5 years of SPDR S&P Global Natural Resources ETF is 6.4%, which is smaller, thus worse compared to the benchmark SPY (10.2%) in the same period.
• During the last 3 years, the annual return (CAGR) is 12.1%, which is larger, thus better than the value of 10.5% 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.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the volatility of 25.6% of SPDR S&P Global Natural Resources ETF is greater, thus worse.
• Looking at volatility in of 30.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (24.1%).

DownVol:

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

• Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside deviation of 18.9% of SPDR S&P Global Natural Resources ETF is greater, thus worse.
• Looking at downside risk in of 22.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.6%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The risk / return profile (Sharpe) over 5 years of SPDR S&P Global Natural Resources ETF is 0.15, which is smaller, thus worse compared to the benchmark SPY (0.37) in the same period.
• Compared with SPY (0.33) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.32 is lower, 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.'

• Looking at the downside risk / excess return profile of 0.21 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 (0.51)
• Compared with SPY (0.45) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.43 is lower, thus worse.

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.'

• The Ulcer Ratio over 5 years of SPDR S&P Global Natural Resources ETF is 13 , which is higher, thus worse compared to the benchmark SPY (7.71 ) in the same period.
• Compared with SPY (9.08 ) in the period of the last 3 years, the Downside risk index of 13 is larger, thus worse.

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.'

• The maximum reduction from previous high over 5 years of SPDR S&P Global Natural Resources ETF is -48.6 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -45.3 days is smaller, 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). 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'

• The maximum days under water over 5 years of SPDR S&P Global Natural Resources ETF is 661 days, which is higher, thus worse compared to the benchmark SPY (189 days) in the same period.
• Compared with SPY (189 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 237 days is larger, thus worse.

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 under water over 5 years of SPDR S&P Global Natural Resources ETF is 203 days, which is greater, thus worse compared to the benchmark SPY (46 days) in the same period.
• Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 69 days is greater, thus worse.