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.'

• Looking at the total return, or performance of 45.8% 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 (97.3%)
• Looking at total return, or increase in value in of 0.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (40.1%).

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 7.9% 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 (14.6%)
• Compared with SPY (12%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 0.1% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 24.5%, which is higher, thus worse compared to the benchmark SPY (21%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the historical 30 days volatility of 19.8% 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.'

• Looking at the downside deviation of 18% 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 (15%)
• Looking at downside volatility in of 14.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.1%).

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 risk / return profile (Sharpe) of 0.22 in the last 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.58)
• During the last 3 years, the risk / return profile (Sharpe) is -0.12, which is lower, thus worse than the value of 0.55 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.'

• Compared with the benchmark SPY (0.8) in the period of the last 5 years, the downside risk / excess return profile of 0.3 of FlexShares Global Upstream Natural Resources Index Fund ETF is smaller, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is -0.16, which is lower, thus worse than the value of 0.78 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 11 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (8.64 ) in the period of the last 3 years, the Ulcer Ratio of 12 is greater, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -40.3 days of FlexShares Global Upstream Natural Resources Index Fund ETF is lower, thus worse.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum reduction from previous high of -24.1 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.'

• The maximum days under water over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 702 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 702 days is greater, thus worse.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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 229 days in the last 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (122 days)
• Compared with SPY (89 days) in the period of the last 3 years, the average time in days below previous high water mark of 336 days is greater, thus worse.