Description of iShares Global Infrastructure ETF

iShares Global Infrastructure ETF

Statistics of iShares Global Infrastructure ETF (YTD)

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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.'

Using this definition on our asset we see for example:
  • The total return, or increase in value over 5 years of iShares Global Infrastructure ETF is 28.9%, which is smaller, thus worse compared to the benchmark SPY (68.2%) in the same period.
  • Looking at total return in of 27.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.7%).

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.'

Which means for our asset as example:
  • Looking at the annual return (CAGR) of 5.2% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (11%)
  • During the last 3 years, the annual performance (CAGR) is 8.4%, which is lower, thus worse than the value of 13.9% from the benchmark.

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:
  • Looking at the historical 30 days volatility of 12.8% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.2%)
  • Looking at volatility in of 11.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.4%).

DownVol:

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

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside risk of 14.3% of iShares Global Infrastructure ETF is lower, thus better.
  • Looking at downside deviation in of 12.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.21 of iShares Global Infrastructure ETF is smaller, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of 0.53 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.92).

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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of annual return and downside deviation of 0.19 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
  • During the last 3 years, the ratio of annual return and downside deviation is 0.46, which is lower, thus worse than the value of 0.81 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Downside risk index of 7.11 of iShares Global Infrastructure ETF is larger, thus better.
  • Looking at Ulcer Ratio in of 5.17 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (4 ).

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.'

Using this definition on our asset we see for example:
  • The maximum reduction from previous high over 5 years of iShares Global Infrastructure ETF is -23 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -14.7 days is higher, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

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.
  • Looking at maximum time in days below previous high water mark in of 285 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (131 days).

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.'

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 108 days, which is larger, thus worse compared to the benchmark SPY (39 days) in the same period.
  • Compared with SPY (33 days) in the period of the last 3 years, the average days under water of 81 days is higher, thus worse.

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.