iShares Russell Top 200 Growth ETF (IWY)

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.'

• Looking at the total return, or increase in value of 142.1% in the last 5 years of iShares Russell Top 200 Growth ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (94.2%)
• During the last 3 years, the total return is 46.7%, which is greater, thus better than the value of 34.4% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual performance (CAGR) over 5 years of iShares Russell Top 200 Growth ETF is 19.4%, which is higher, thus better compared to the benchmark SPY (14.2%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 13.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (10.4%).

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.'

• The historical 30 days volatility 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.
• Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 22.4% is higher, thus worse.

DownVol:

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

• The downside risk over 5 years of iShares Russell Top 200 Growth ETF is 17.3%, which is larger, 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 larger, thus worse than the value of 12.3% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the Sharpe Ratio of 0.69 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 (0.56)
• Compared with SPY (0.45) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.5 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.'

• The excess return divided by the downside deviation over 5 years of iShares Russell Top 200 Growth ETF is 0.97, which is larger, thus better compared to the benchmark SPY (0.78) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.71 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.64).

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 Downside risk index of 13 in the last 5 years of iShares Russell Top 200 Growth ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.33 )
• Compared with SPY (8.87 ) in the period of the last 3 years, the Ulcer Index of 13 is higher, 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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -32.7 days of iShares Russell Top 200 Growth ETF is higher, thus better.
• 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 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 493 days of iShares Russell Top 200 Growth ETF is higher, thus worse.
• Compared with SPY (375 days) in the period of the last 3 years, the maximum days under water of 374 days is lower, thus better.

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.'

• Looking at the average days below previous high 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)
• During the last 3 years, the average time in days below previous high water mark is 113 days, which is larger, thus worse than the value of 113 days from the benchmark.