iShares Russell Top 200 Growth ETF (IWY)

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.'

• The total return over 5 years of iShares Russell Top 200 Growth ETF is 139.9%, which is higher, thus better compared to the benchmark SPY (91.2%) in the same period.
• During the last 3 years, the total return, or increase in value is 44%, which is greater, thus better than the value of 30.8% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SPY (13.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 19.2% of iShares Russell Top 200 Growth ETF is larger, thus better.
• Looking at annual performance (CAGR) in of 13% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (9.4%).

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.'

• The 30 days standard deviation over 5 years of iShares Russell Top 200 Growth ETF is 24.5%, which is larger, thus worse compared to the benchmark SPY (21%) in the same period.
• During the last 3 years, the 30 days standard deviation is 22.4%, which is greater, thus worse than the value of 17.5% 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.'

• The downside deviation over 5 years of iShares Russell Top 200 Growth ETF is 17.3%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
• During the last 3 years, the downside risk is 15.8%, which is greater, thus worse than the value of 12.3% 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.'

• Compared with the benchmark SPY (0.54) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.68 of iShares Russell Top 200 Growth ETF is greater, thus better.
• Compared with SPY (0.4) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.47 is higher, thus better.

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 0.96 in the last 5 years of iShares Russell Top 200 Growth ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.76)
• Compared with SPY (0.56) in the period of the last 3 years, the excess return divided by the downside deviation of 0.67 is higher, thus better.

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.'

• Looking at the Downside risk index of 13 in the last 5 years of iShares Russell Top 200 Growth ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.33 )
• Looking at Ulcer Index in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.89 ).

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.'

• Looking at the maximum reduction from previous high of -32.7 days in the last 5 years of iShares Russell Top 200 Growth ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum drop from peak to valley in of -28.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-22.4 days).

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.'

• The maximum days under water over 5 years of iShares Russell Top 200 Growth ETF is 493 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 374 days, which is lower, thus better than the value of 375 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 time in days below previous high water mark of 121 days in the last 5 years of iShares Russell Top 200 Growth ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (122 days)
• Compared with SPY (114 days) in the period of the last 3 years, the average time in days below previous high water mark of 114 days is larger, thus worse.