iShares Global Energy ETF (IXC)

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 Global Energy ETF is 32.8%, which is lower, thus worse compared to the benchmark SPY (57.1%) in the same period.
• Compared with SPY (32%) in the period of the last 3 years, the total return of 185.6% is higher, thus better.

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.'

• Compared with the benchmark SPY (9.5%) in the period of the last 5 years, the annual return (CAGR) of 5.9% of iShares Global Energy ETF is lower, thus worse.
• Compared with SPY (9.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 42% is greater, thus better.

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 (21.5%) in the period of the last 5 years, the 30 days standard deviation of 33.3% of iShares Global Energy ETF is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 29%, which is larger, thus worse than the value of 17.9% from the benchmark.

DownVol:

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

• The downside deviation over 5 years of iShares Global Energy ETF is 24%, which is higher, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Compared with SPY (12.5%) in the period of the last 3 years, the downside risk of 18.9% is greater, thus worse.

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.'

• The risk / return profile (Sharpe) over 5 years of iShares Global Energy ETF is 0.1, which is lower, thus worse compared to the benchmark SPY (0.32) in the same period.
• Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of 1.36 is higher, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the ratio of annual return and downside deviation of 0.14 in the last 5 years of iShares Global Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.45)
• Looking at downside risk / excess return profile in of 2.09 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.58).

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 24 in the last 5 years of iShares Global Energy ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.57 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 7.83 is lower, thus better.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -63.8 days of iShares Global Energy ETF is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -24.9 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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 Energy ETF is 837 days, which is larger, thus worse compared to the benchmark SPY (439 days) in the same period.
• Compared with SPY (439 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 150 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.'

• The average days below previous high over 5 years of iShares Global Energy ETF is 303 days, which is higher, thus worse compared to the benchmark SPY (106 days) in the same period.
• Looking at average days below previous high in of 37 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (149 days).