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 (154.3%) in the period of the last 5 years, the total return, or increase in value of 280.1% of iShares Global Energy ETF is higher, thus better.
• During the last 3 years, the total return is 35.8%, which is higher, thus better than the value of 32.9% from the benchmark.

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 (20.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 30.7% of iShares Global Energy ETF is higher, thus better.
• Compared with SPY (10%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 10.8% is larger, thus better.

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.'

• Compared with the benchmark SPY (18.4%) in the period of the last 5 years, the 30 days standard deviation of 29.2% of iShares Global Energy ETF is higher, thus worse.
• During the last 3 years, the volatility is 23.4%, which is higher, thus worse than the value of 17% 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.'

• Looking at the downside risk of 18.7% in the last 5 years of iShares Global Energy ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (12.4%)
• Looking at downside volatility in of 16.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12%).

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 0.97 in the last 5 years of iShares Global Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.99)
• Looking at risk / return profile (Sharpe) in of 0.35 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.44).

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 1.51 in the last 5 years of iShares Global Energy ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.46)
• Compared with SPY (0.62) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.49 is lower, 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 Ulcer Index over 5 years of iShares Global Energy ETF is 9.74 , which is higher, thus worse compared to the benchmark SPY (8.29 ) in the same period.
• During the last 3 years, the Downside risk index is 8.02 , which is lower, thus better than the value of 8.63 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 -35.5 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high in of -24.9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-22.1 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) in days.'

• Looking at the maximum days under water of 235 days in the last 5 years of iShares Global Energy ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 235 days, which is smaller, thus better than the value of 325 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.'

• The average days below previous high over 5 years of iShares Global Energy ETF is 62 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 76 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (89 days).