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

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, or increase in value over 5 years of iShares S&P Global Clean Energy Index Fund is 110.1%, which is greater, thus better compared to the benchmark SPY (61.9%) in the same period.
• Looking at total return, or increase in value in of 121% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (79.4%).

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 (10.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 16% of iShares S&P Global Clean Energy Index Fund is larger, thus better.
• Compared with SPY (21.5%) in the period of the last 3 years, the annual return (CAGR) of 30.3% is higher, 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.'

• Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the volatility of 31.3% of iShares S&P Global Clean Energy Index Fund is larger, thus worse.
• During the last 3 years, the 30 days standard deviation is 34.6%, which is larger, thus worse than the value of 21.2% 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 deviation over 5 years of iShares S&P Global Clean Energy Index Fund is 21.7%, which is greater, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Looking at downside volatility in of 22.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.1%).

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.'

• The risk / return profile (Sharpe) over 5 years of iShares S&P Global Clean Energy Index Fund is 0.43, which is higher, thus better compared to the benchmark SPY (0.36) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.8 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.9).

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.'

• The downside risk / excess return profile over 5 years of iShares S&P Global Clean Energy Index Fund is 0.63, which is greater, thus better compared to the benchmark SPY (0.49) in the same period.
• Compared with SPY (1.35) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.24 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.'

• Looking at the Ulcer Ratio of 25 in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.15 )
• Compared with SPY (9.78 ) in the period of the last 3 years, the Ulcer Ratio of 30 is higher, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum DrawDown of -49.1 days in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -49.1 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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 (305 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 554 days of iShares S&P Global Clean Energy Index Fund is greater, thus worse.
• During the last 3 years, the maximum days below previous high is 554 days, which is greater, thus worse than the value of 305 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.'

• Looking at the average days below previous high of 157 days in the last 5 years of iShares S&P Global Clean Energy Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (65 days)
• Looking at average days under water in of 228 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (80 days).