Description

iShares S&P Global Clean Energy Index Fund ETF

Statistics (YTD)

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

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.'

Which means for our asset as example:
  • Looking at the total return of 154.7% 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 (63%)
  • Compared with SPY (31.2%) in the period of the last 3 years, the total return, or performance of 89.1% is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 20.6% in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (10.3%)
  • Compared with SPY (9.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 23.7% is greater, thus better.

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.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of iShares S&P Global Clean Energy Index Fund is 31%, which is larger, thus worse compared to the benchmark SPY (21.4%) in the same period.
  • Compared with SPY (24.9%) in the period of the last 3 years, the 30 days standard deviation of 37.8% is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk of 21.4% 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 (15.6%)
  • During the last 3 years, the downside deviation is 26.1%, which is larger, thus worse than the value of 18% 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 (0.36) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.58 of iShares S&P Global Clean Energy Index Fund is greater, thus better.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.56, which is larger, thus better than the value of 0.28 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.'

Which means for our asset as example:
  • The ratio of annual return and downside deviation over 5 years of iShares S&P Global Clean Energy Index Fund is 0.85, which is greater, thus better compared to the benchmark SPY (0.5) in the same period.
  • During the last 3 years, the downside risk / excess return profile is 0.81, which is higher, thus better than the value of 0.39 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of iShares S&P Global Clean Energy Index Fund is 23 , which is higher, thus worse compared to the benchmark SPY (8.49 ) in the same period.
  • During the last 3 years, the Ulcer Index is 29 , which is larger, thus worse than the value of 10 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -49.1 days in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum reduction from previous high in of -49.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of 482 days 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 (233 days)
  • Looking at maximum days under water in of 482 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (233 days).

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.'

Which means for our asset as example:
  • The average time in days below previous high water mark over 5 years of iShares S&P Global Clean Energy Index Fund is 127 days, which is greater, thus worse compared to the benchmark SPY (54 days) in the same period.
  • During the last 3 years, the average days below previous high is 180 days, which is greater, thus worse than the value of 59 days from the benchmark.

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 iShares S&P Global Clean Energy Index Fund 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.