iShares Global Infrastructure ETF (IGF)

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.'

• Compared with the benchmark SPY (91.1%) in the period of the last 5 years, the total return, or performance of 63.6% of iShares Global Infrastructure ETF is lower, thus worse.
• Compared with SPY (80.1%) in the period of the last 3 years, the total return, or increase in value of 42.2% is lower, thus worse.

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 compounded annual growth rate (CAGR) of 10.4% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.9%)
• During the last 3 years, the annual return (CAGR) is 12.5%, which is smaller, thus worse than the value of 21.8% from the benchmark.

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 (17.1%) in the period of the last 5 years, the 30 days standard deviation of 14% of iShares Global Infrastructure ETF is lower, thus better.
• Looking at historical 30 days volatility in of 12.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.2%).

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 9.9% 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%)
• During the last 3 years, the downside risk is 8.9%, which is smaller, thus better than the value of 10.2% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.56 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.67)
• Looking at risk / return profile (Sharpe) in of 0.79 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.27).

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.'

• Looking at the downside risk / excess return profile of 0.8 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.97)
• During the last 3 years, the downside risk / excess return profile is 1.13, which is lower, thus worse than the value of 1.89 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 Ulcer Index of 5.75 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 )
• During the last 3 years, the Ulcer Index is 3.86 , which is greater, thus worse than the value of 3.51 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum reduction from previous high over 5 years of iShares Global Infrastructure ETF is -20.8 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -15 days is higher, thus better.

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.'

• The maximum days under water over 5 years of iShares Global Infrastructure ETF is 513 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 220 days, which is larger, thus worse than the value of 87 days from the benchmark.

AveDuration:

'The Average 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. 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 124 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 (119 days)
• Compared with SPY (21 days) in the period of the last 3 years, the average days below previous high of 45 days is higher, thus worse.