FlexShares Global Upstream Natural Resources Index Fund ETF (GUNR)

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.'

• The total return, or performance over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 61.1%, which is lower, thus worse compared to the benchmark SPY (122.7%) in the same period.
• Compared with SPY (65.3%) in the period of the last 3 years, the total return, or performance of 25% 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.'

• Compared with the benchmark SPY (17.4%) in the period of the last 5 years, the annual performance (CAGR) of 10% of FlexShares Global Upstream Natural Resources Index Fund ETF is smaller, thus worse.
• Compared with SPY (18.2%) in the period of the last 3 years, the annual return (CAGR) of 7.7% is smaller, thus worse.

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.'

• Looking at the volatility of 21.6% in the last 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.7%)
• Compared with SPY (22.5%) in the period of the last 3 years, the volatility of 25.7% is greater, thus worse.

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.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside deviation of 16% of FlexShares Global Upstream Natural Resources Index Fund ETF is higher, thus worse.
• Compared with SPY (16.3%) in the period of the last 3 years, the downside deviation of 19.2% is larger, thus worse.

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 (0.8) in the period of the last 5 years, the Sharpe Ratio of 0.35 of FlexShares Global Upstream Natural Resources Index Fund ETF is lower, thus worse.
• Compared with SPY (0.7) in the period of the last 3 years, the Sharpe Ratio of 0.2 is smaller, 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.'

• The excess return divided by the downside deviation over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 0.47, which is smaller, thus worse compared to the benchmark SPY (1.1) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.27 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.96).

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 Index over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 8.81 , which is greater, thus worse compared to the benchmark SPY (5.58 ) in the same period.
• During the last 3 years, the Ulcer Index is 11 , which is larger, thus worse than the value of 6.83 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -43 days in the last 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -43 days is lower, 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) in days.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 402 days of FlexShares Global Upstream Natural Resources Index Fund ETF is higher, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 233 days is higher, 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 time in days below previous high water mark over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 106 days, which is higher, thus worse compared to the benchmark SPY (33 days) in the same period.
• Looking at average time in days below previous high water mark in of 75 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 days).