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.'

• Compared with the benchmark SPY (128%) in the period of the last 5 years, the total return, or increase in value of 18.3% of iShares Global Energy ETF is lower, thus worse.
• Compared with SPY (44.9%) in the period of the last 3 years, the total return, or increase in value of -28.5% is lower, thus worse.

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 return (CAGR) over 5 years of iShares Global Energy ETF is 3.4%, which is lower, thus worse compared to the benchmark SPY (17.9%) in the same period.
• Compared with SPY (13.2%) in the period of the last 3 years, the annual return (CAGR) of -10.6% is lower, thus worse.

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.'

• Looking at the historical 30 days volatility of 30% in the last 5 years of iShares Global Energy ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.7%)
• Looking at 30 days standard deviation in of 35.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.9%).

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 Global Energy ETF is 21.6%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
• During the last 3 years, the downside risk is 26.2%, which is greater, thus worse than the value of 16.7% 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 risk / return profile (Sharpe) of 0.03 in the last 5 years of iShares Global Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.82)
• Compared with SPY (0.47) in the period of the last 3 years, the Sharpe Ratio of -0.37 is lower, thus worse.

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 ratio of annual return and downside deviation of 0.04 in the last 5 years of iShares Global Energy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.14)
• Looking at ratio of annual return and downside deviation in of -0.5 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.64).

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.'

• The Ulcer Ratio over 5 years of iShares Global Energy ETF is 21 , which is larger, thus worse compared to the benchmark SPY (5.59 ) in the same period.
• Compared with SPY (7.15 ) in the period of the last 3 years, the Ulcer Index of 27 is higher, thus worse.

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.'

• Looking at the maximum drop from peak to valley of -63.2 days in the last 5 years of iShares Global Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -63.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

• Looking at the maximum days below previous high of 672 days in the last 5 years of iShares Global Energy ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum time in days below previous high water mark is 672 days, which is higher, thus worse than the value of 139 days from the benchmark.

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 time in days below previous high water mark of 214 days in the last 5 years of iShares Global Energy ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (33 days)
• During the last 3 years, the average time in days below previous high water mark is 306 days, which is higher, thus worse than the value of 45 days from the benchmark.