FlexShares Global Upstream Natural Resources Index Fund ETF (GUNR)

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.'

• The total return, or performance over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 73.6%, which is lower, thus worse compared to the benchmark SPY (87.8%) in the same period.
• Compared with SPY (72.9%) in the period of the last 3 years, the total return, or increase in value of 34.5% is lower, thus worse.

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 FlexShares Global Upstream Natural Resources Index Fund ETF is 11.7%, which is smaller, thus worse compared to the benchmark SPY (13.5%) in the same period.
• Looking at annual return (CAGR) in of 10.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (20.1%).

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 19.1% 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 (17%)
• During the last 3 years, the volatility is 16.6%, which is higher, thus worse than the value of 15.1% from the benchmark.

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 volatility of 13.6% in the last 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.7%)
• Looking at downside deviation in of 12% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.1%).

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.'

• Compared with the benchmark SPY (0.65) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.48 of FlexShares Global Upstream Natural Resources Index Fund ETF is smaller, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.48, which is smaller, thus worse than the value of 1.17 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 ratio of annual return and downside deviation over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 0.68, which is lower, thus worse compared to the benchmark SPY (0.94) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.66, which is smaller, thus worse than the value of 1.74 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.'

• Looking at the Ulcer Ratio of 10 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 (8.42 )
• Looking at Ulcer Ratio in of 6.7 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.4 ).

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 DrawDown of -24.1 days in the last 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -19.6 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 Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 852 days of FlexShares Global Upstream Natural Resources Index Fund ETF is larger, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 292 days, which is greater, 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.'

• Looking at the average days below previous high of 317 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 (119 days)
• During the last 3 years, the average days below previous high is 108 days, which is larger, thus worse than the value of 19 days from the benchmark.