iShares Global Energy ETF (IXC)

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.'

• Compared with the benchmark SPY (67.3%) in the period of the last 5 years, the total return, or performance of -5.3% of iShares Global Energy ETF is lower, thus worse.
• Looking at total return in of 24.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (46.1%).

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 Global Energy ETF is -1.1%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Compared with SPY (13.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 7.7% 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.'

• Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the volatility of 20.4% of iShares Global Energy ETF is higher, thus worse.
• Compared with SPY (12.4%) in the period of the last 3 years, the 30 days standard deviation of 17.6% is greater, thus worse.

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.'

• Looking at the downside volatility of 21.4% in the last 5 years of iShares Global Energy ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
• Compared with SPY (14%) in the period of the last 3 years, the downside volatility of 19% is larger, 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.'

• Looking at the risk / return profile (Sharpe) of -0.18 in the last 5 years of iShares Global Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.63)
• Looking at ratio of return and volatility (Sharpe) in of 0.3 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.88).

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.'

• Compared with the benchmark SPY (0.57) in the period of the last 5 years, the excess return divided by the downside deviation of -0.17 of iShares Global Energy ETF is smaller, thus worse.
• Compared with SPY (0.79) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.27 is smaller, thus worse.

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.'

• The Downside risk index over 5 years of iShares Global Energy ETF is 26 , which is higher, thus better compared to the benchmark SPY (3.95 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 8 , which is higher, thus better than the value of 4 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of iShares Global Energy ETF is -48.7 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -26.7 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

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 below previous high over 5 years of iShares Global Energy ETF is 1193 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
• Compared with SPY (131 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 225 days is larger, thus worse.

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 582 days in the last 5 years of iShares Global Energy ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (39 days)
• Looking at average days below previous high in of 74 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (33 days).