iShares Global Infrastructure ETF (IGF)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of iShares Global Infrastructure ETF is 75.9%, which is lower, thus worse compared to the benchmark SPY (107.9%) in the same period.
• Looking at total return in of 60.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (85.9%).

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 12% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (15.8%)
• Compared with SPY (23.1%) in the period of the last 3 years, the annual performance (CAGR) of 17.2% is smaller, thus worse.

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.'

• Looking at the volatility of 14.6% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.2%)
• Compared with SPY (16.1%) in the period of the last 3 years, the historical 30 days volatility of 13.5% is lower, thus better.

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.'

• Looking at the downside risk of 10.2% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (11.8%)
• Looking at downside risk in of 9.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.5%).

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 Sharpe Ratio over 5 years of iShares Global Infrastructure ETF is 0.65, which is smaller, thus worse compared to the benchmark SPY (0.77) in the same period.
• Compared with SPY (1.28) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.09 is lower, thus worse.

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.'

• Compared with the benchmark SPY (1.12) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.94 of iShares Global Infrastructure ETF is smaller, thus worse.
• Compared with SPY (1.95) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.6 is lower, thus worse.

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 Ulcer Ratio of 5.76 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.42 )
• Compared with SPY (3.62 ) in the period of the last 3 years, the Ulcer Ratio of 3.87 is greater, 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -20.8 days of iShares Global Infrastructure ETF is larger, thus better.
• During the last 3 years, the maximum drop from peak to valley is -15 days, which is greater, thus better than the value of -18.8 days from the benchmark.

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 under water of 513 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 (488 days)
• During the last 3 years, the maximum days under water is 220 days, which is higher, thus worse than the value of 87 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 125 days of iShares Global Infrastructure ETF is larger, thus worse.
• During the last 3 years, the average days below previous high is 45 days, which is larger, thus worse than the value of 21 days from the benchmark.