Description

FlexShares Global Upstream Natural Resources Index Fund ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (102.7%) in the period of the last 5 years, the total return, or increase in value of 50.1% of FlexShares Global Upstream Natural Resources Index Fund ETF is lower, thus worse.
  • During the last 3 years, the total return is 25.1%, which is lower, thus worse than the value of 38.1% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 8.5%, which is lower, thus worse compared to the benchmark SPY (15.2%) in the same period.
  • Compared with SPY (11.4%) in the period of the last 3 years, the annual performance (CAGR) of 7.8% 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.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 24.3% 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 (20.9%)
  • Looking at historical 30 days volatility in of 20.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 17.9% of FlexShares Global Upstream Natural Resources Index Fund ETF is larger, thus worse.
  • During the last 3 years, the downside volatility is 14.6%, which is higher, thus worse than the value of 12% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.61) in the period of the last 5 years, the Sharpe Ratio of 0.25 of FlexShares Global Upstream Natural Resources Index Fund ETF is lower, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.26, which is lower, thus worse than the value of 0.51 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.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of FlexShares Global Upstream Natural Resources Index Fund ETF is 0.33, which is lower, thus worse compared to the benchmark SPY (0.85) in the same period.
  • Compared with SPY (0.74) in the period of the last 3 years, the excess return divided by the downside deviation of 0.36 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the Downside risk index of 11 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 (9.32 )
  • Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 11 is higher, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -43 days of FlexShares Global Upstream Natural Resources Index Fund ETF is lower, thus worse.
  • Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -24.1 days is greater, thus better.

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'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of 488 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 (488 days)
  • Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 488 days is higher, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (124 days) in the period of the last 5 years, the average days below previous high of 142 days of FlexShares Global Upstream Natural Resources Index Fund ETF is higher, thus worse.
  • Compared with SPY (181 days) in the period of the last 3 years, the average days below previous high of 176 days is smaller, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of FlexShares Global Upstream Natural Resources Index Fund ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.