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 (110.4%) in the period of the last 5 years, the total return of 71.9% of FlexShares Global Upstream Natural Resources Index Fund ETF is lower, thus worse.
• Looking at total return, or increase in value in of 23.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (72.5%).

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 (16.1%) in the period of the last 5 years, the annual return (CAGR) of 11.5% of FlexShares Global Upstream Natural Resources Index Fund ETF is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 7.4%, which is smaller, thus worse than the value of 20.1% from the benchmark.

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.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the volatility of 19.7% of FlexShares Global Upstream Natural Resources Index Fund ETF is higher, thus worse.
• During the last 3 years, the 30 days standard deviation is 18.5%, which is larger, thus worse than the value of 17.5% from the benchmark.

DownVol:

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

• The downside risk over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 13.9%, which is higher, thus worse compared to the benchmark SPY (12.1%) in the same period.
• During the last 3 years, the downside deviation is 13%, which is greater, thus worse than the value of 11.5% 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.'

• Looking at the risk / return profile (Sharpe) of 0.46 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 (0.78)
• Compared with SPY (1.01) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.27 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.'

• Looking at the downside risk / excess return profile of 0.65 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 (1.13)
• Compared with SPY (1.53) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.38 is lower, thus worse.

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 (8.48 )
• During the last 3 years, the Ulcer Index is 10 , which is larger, thus worse than the value of 5.31 from the benchmark.

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 (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -24.1 days of FlexShares Global Upstream Natural Resources Index Fund ETF is larger, thus better.
• Looking at maximum reduction from previous high in of -22 days in the period of the last 3 years, we see it is relatively smaller, 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 time in days below previous high water mark of 811 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 616 days, which is larger, thus worse than the value of 199 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.'

• The average days under water over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 286 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
• Compared with SPY (47 days) in the period of the last 3 years, the average days under water of 265 days is larger, thus worse.