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.'

• The total return over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 42.4%, which is smaller, thus worse compared to the benchmark SPY (60.7%) in the same period.
• Compared with SPY (29.5%) in the period of the last 3 years, the total return, or increase in value of 31.9% is larger, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual return (CAGR) of 7.3% of FlexShares Global Upstream Natural Resources Index Fund ETF is smaller, thus worse.
• Compared with SPY (9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 9.7% is greater, thus better.

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.'

• Looking at the historical 30 days volatility of 23.5% 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 (20.8%)
• During the last 3 years, the 30 days standard deviation is 27.8%, which is greater, thus worse than the value of 24% 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.'

• The downside risk over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 17.5%, which is higher, thus worse compared to the benchmark SPY (15.3%) in the same period.
• Looking at downside volatility in of 20.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.6%).

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 0.21, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.26, which is smaller, thus worse than the value of 0.27 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (0.49) in the period of the last 5 years, the excess return divided by the downside deviation of 0.28 of FlexShares Global Upstream Natural Resources Index Fund ETF is lower, thus worse.
• Looking at downside risk / excess return profile in of 0.34 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.37).

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 Index over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 9.73 , which is greater, thus worse compared to the benchmark SPY (7.52 ) in the same period.
• Compared with SPY (8.81 ) in the period of the last 3 years, the Ulcer Ratio of 11 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.'

• Looking at the maximum DrawDown 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)
• During the last 3 years, the maximum drop from peak to valley is -43 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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'

• Compared with the benchmark SPY (182 days) in the period of the last 5 years, the maximum days under water of 402 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 233 days, which is greater, thus worse than the value of 182 days from the benchmark.

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 days below previous high of 107 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 (45 days)
• Looking at average time in days below previous high water mark in of 59 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (43 days).