Description

iShares Global Infrastructure ETF

Statistics (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of iShares Global Infrastructure ETF is 10.4%, which is smaller, thus worse compared to the benchmark SPY (66.6%) in the same period.
  • During the last 3 years, the total return is -4.3%, which is lower, thus worse than the value of 36.1% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The compounded annual growth rate (CAGR) over 5 years of iShares Global Infrastructure ETF is 2%, which is lower, thus worse compared to the benchmark SPY (10.8%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is -1.4%, which is lower, thus worse than the value of 10.8% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 19.3% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (19%)
  • Compared with SPY (22%) in the period of the last 3 years, the volatility of 21.9% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.9%) in the period of the last 5 years, the downside deviation of 14.8% of iShares Global Infrastructure ETF is larger, thus worse.
  • During the last 3 years, the downside risk is 17.1%, which is greater, thus worse than the value of 16.2% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.43) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.03 of iShares Global Infrastructure ETF is smaller, thus worse.
  • Looking at Sharpe Ratio in of -0.18 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.38).

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of -0.03 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.59)
  • During the last 3 years, the excess return divided by the downside deviation is -0.23, which is lower, thus worse than the value of 0.52 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:
  • Looking at the Ulcer Ratio of 8.8 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (5.9 )
  • Looking at Downside risk index in of 10 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.98 ).

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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of iShares Global Infrastructure ETF is -42.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -42.1 days is smaller, thus worse.

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) in days.'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 285 days in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum time in days below previous high water mark is 285 days, which is larger, thus worse than the value of 139 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.'

Using this definition on our asset we see for example:
  • Looking at the average days below previous high of 76 days in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (44 days)
  • Compared with SPY (41 days) in the period of the last 3 years, the average time in days below previous high water mark of 77 days is higher, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares Global Infrastructure 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.