iShares Genomics Immunology and Healthcare ETF (IDNA)

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.'

• Compared with the benchmark SPY (61.9%) in the period of the last 5 years, the total return, or performance of % of iShares Genomics Immunology and Healthcare ETF is lower, thus worse.
• Looking at total return, or increase in value in of -4.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (79.4%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of % in the last 5 years of iShares Genomics Immunology and Healthcare ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.1%)
• Looking at annual return (CAGR) in of -1.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.5%).

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.'

• Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the historical 30 days volatility of % of iShares Genomics Immunology and Healthcare ETF is lower, thus better.
• Looking at volatility in of 33.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21.2%).

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.'

• Looking at the downside risk of % in the last 5 years of iShares Genomics Immunology and Healthcare ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.5%)
• During the last 3 years, the downside deviation is 23.2%, which is higher, thus worse than the value of 14.1% 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.'

• The risk / return profile (Sharpe) over 5 years of iShares Genomics Immunology and Healthcare ETF is , which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.12, which is smaller, thus worse than the value of 0.9 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.'

• The excess return divided by the downside deviation over 5 years of iShares Genomics Immunology and Healthcare ETF is , which is smaller, thus worse compared to the benchmark SPY (0.49) in the same period.
• During the last 3 years, the downside risk / excess return profile is -0.17, which is lower, thus worse than the value of 1.35 from the benchmark.

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.'

• Looking at the Downside risk index of in the last 5 years of iShares Genomics Immunology and Healthcare ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.15 )
• During the last 3 years, the Ulcer Index is 31 , which is greater, thus worse than the value of 9.78 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.'

• Looking at the maximum reduction from previous high of days in the last 5 years of iShares Genomics Immunology and Healthcare ETF, 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 -59 days in the period of the last 3 years, we see it is relatively smaller, 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'

• Looking at the maximum days below previous high of days in the last 5 years of iShares Genomics Immunology and Healthcare ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (305 days)
• During the last 3 years, the maximum time in days below previous high water mark is 389 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 days in the last 5 years of iShares Genomics Immunology and Healthcare ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (65 days)
• Compared with SPY (80 days) in the period of the last 3 years, the average days under water of 122 days is larger, thus worse.