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.'

• Compared with the benchmark SPY (82.8%) in the period of the last 5 years, the total return of 78.7% of SPDR S&P Global Natural Resources ETF is smaller, thus worse.
• During the last 3 years, the total return, or performance is 56.2%, which is lower, thus worse than the value of 80.4% 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.'

• Compared with the benchmark SPY (12.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 12.4% of SPDR S&P Global Natural Resources ETF is lower, thus worse.
• Compared with SPY (21.8%) in the period of the last 3 years, the annual return (CAGR) of 16.1% is lower, thus worse.

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.'

• Looking at the 30 days standard deviation of 20.1% 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 (17.2%)
• Compared with SPY (15.3%) in the period of the last 3 years, the volatility of 17.5% is larger, thus worse.

DownVol:

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

• Looking at the downside risk of 14.3% 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 (11.8%)
• During the last 3 years, the downside risk is 12.3%, which is greater, thus worse than the value of 10.2% 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.'

• The Sharpe Ratio over 5 years of SPDR S&P Global Natural Resources ETF is 0.49, which is lower, thus worse compared to the benchmark SPY (0.6) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.78 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.26).

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 0.69, which is lower, thus worse compared to the benchmark SPY (0.88) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.1, which is lower, thus worse than the value of 1.89 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.'

• The Ulcer Ratio over 5 years of SPDR S&P Global Natural Resources ETF is 8.54 , which is larger, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Downside risk index in of 5.94 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.37 ).

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 (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -25.7 days of SPDR S&P Global Natural Resources ETF is smaller, thus worse.
• Looking at maximum DrawDown in of -21.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• The maximum days below previous high over 5 years of SPDR S&P Global Natural Resources ETF is 522 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 314 days, which is larger, thus worse than the value of 87 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.'

• Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average days under water of 166 days of SPDR S&P Global Natural Resources ETF is higher, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 89 days, which is greater, thus worse than the value of 18 days from the benchmark.