FlexShares Global Upstream Natural Resources Index Fund ETF (GUNR)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (67.9%) in the period of the last 5 years, the total return, or increase in value of 35.1% of FlexShares Global Upstream Natural Resources Index Fund ETF is lower, thus worse.
• Looking at total return, or increase in value in of 57.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (44.5%).

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 compounded annual growth rate (CAGR) over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 6.2%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Looking at annual performance (CAGR) in of 16.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (13.1%).

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.'

• The volatility over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 24.4%, which is greater, thus worse compared to the benchmark SPY (21.4%) in the same period.
• Compared with SPY (18.7%) in the period of the last 3 years, the historical 30 days volatility of 22.2% is higher, thus worse.

DownVol:

'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.'

• The downside volatility over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 18%, which is larger, thus worse compared to the benchmark SPY (15.4%) in the same period.
• During the last 3 years, the downside deviation is 15.7%, which is higher, thus worse than the value of 13.3% from the benchmark.

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 FlexShares Global Upstream Natural Resources Index Fund ETF is 0.15, which is lower, thus worse compared to the benchmark SPY (0.39) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.62, which is greater, thus better than the value of 0.56 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 downside risk / excess return profile over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 0.21, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.88, which is higher, thus better than the value of 0.79 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (9.47 ) in the period of the last 5 years, the Downside risk index of 10 of FlexShares Global Upstream Natural Resources Index Fund ETF is larger, thus worse.
• Looking at Ulcer Index in of 8.2 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10 ).

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 smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum reduction from previous high in of -24.1 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-24.5 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). 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 FlexShares Global Upstream Natural Resources Index Fund ETF is 388 days, which is larger, thus worse compared to the benchmark SPY (354 days) in the same period.
• Compared with SPY (354 days) in the period of the last 3 years, the maximum days under water of 282 days is smaller, thus better.

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 125 days, which is larger, thus worse compared to the benchmark SPY (79 days) in the same period.
• Looking at average time in days below previous high water mark in of 72 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (102 days).