iShares S&P Global Clean Energy Index Fund (ICLN)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return of 68.6% in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (57.1%)
• Compared with SPY (32%) in the period of the last 3 years, the total return of -26.3% 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.'

• Looking at the annual return (CAGR) of 11% in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (9.5%)
• Compared with SPY (9.7%) in the period of the last 3 years, the annual performance (CAGR) of -9.7% is smaller, thus worse.

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.'

• Looking at the historical 30 days volatility of 31.7% in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21.5%)
• Compared with SPY (17.9%) in the period of the last 3 years, the 30 days standard deviation of 31.8% is larger, 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 risk over 5 years of iShares S&P Global Clean Energy Index Fund is 22.1%, which is greater, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Compared with SPY (12.5%) in the period of the last 3 years, the downside risk of 21.6% is higher, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.32) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.27 of iShares S&P Global Clean Energy Index Fund is smaller, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.38, which is lower, thus worse than the value of 0.41 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of iShares S&P Global Clean Energy Index Fund is 0.39, which is smaller, thus worse compared to the benchmark SPY (0.45) in the same period.
• Looking at downside risk / excess return profile in of -0.56 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.58).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Ulcer Ratio over 5 years of iShares S&P Global Clean Energy Index Fund is 28 , which is higher, thus worse compared to the benchmark SPY (9.57 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 36 is larger, 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.'

• The maximum DrawDown over 5 years of iShares S&P Global Clean Energy Index Fund is -58 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high in of -58 days in the period of the last 3 years, we see it is relatively lower, thus worse 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 time in days below previous high water mark over 5 years of iShares S&P Global Clean Energy Index Fund is 688 days, which is higher, thus worse compared to the benchmark SPY (439 days) in the same period.
• During the last 3 years, the maximum days below previous high is 688 days, which is higher, thus worse than the value of 439 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 below previous high over 5 years of iShares S&P Global Clean Energy Index Fund is 216 days, which is larger, thus worse compared to the benchmark SPY (106 days) in the same period.
• Looking at average days below previous high in of 326 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (149 days).