Description of iShares Global Infrastructure ETF

iShares Global Infrastructure ETF

Statistics of iShares Global Infrastructure ETF (YTD)

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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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 23.9% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.8%)
  • Compared with SPY (47.2%) in the period of the last 3 years, the total return, or performance of 24.8% is smaller, 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 4.4% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.9%)
  • Compared with SPY (13.8%) in the period of the last 3 years, the annual performance (CAGR) of 7.7% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of iShares Global Infrastructure ETF is 12.9%, which is smaller, thus better compared to the benchmark SPY (13.4%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 10.2%, which is lower, thus better than the value of 12.3% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside deviation of 14.3% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (14.7%)
  • Looking at downside risk in of 11.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (13.9%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Applying this definition to our asset in some examples:
  • Looking at the Sharpe Ratio of 0.15 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.63)
  • During the last 3 years, the Sharpe Ratio is 0.51, which is smaller, thus worse than the value of 0.92 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.'

Which means for our asset as example:
  • Looking at the excess return divided by the downside deviation of 0.13 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.57)
  • During the last 3 years, the ratio of annual return and downside deviation is 0.45, which is lower, thus worse than the value of 0.81 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Index of 7.11 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.99 )
  • During the last 3 years, the Ulcer Index is 5.16 , which is larger, thus worse than the value of 4.04 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -23 days of iShares Global Infrastructure ETF is lower, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -14.7 days is larger, 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). 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'

Which means for our asset as example:
  • The maximum days under water over 5 years of iShares Global Infrastructure ETF is 344 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
  • 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 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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of iShares Global Infrastructure ETF is 107 days, which is larger, thus worse compared to the benchmark SPY (41 days) in the same period.
  • Looking at average days below previous high in of 81 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 days).

Performance of iShares Global Infrastructure ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Global Infrastructure ETF
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Allocations

Returns of iShares Global Infrastructure ETF (%)

  • "Year" returns in the table above are not equal to 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.