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, or performance over 5 years of iShares Global Energy ETF is -21.4%, which is lower, thus worse compared to the benchmark SPY (66.7%) in the same period.
• Looking at total return, or increase in value in of 8.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (46%).

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 compounded annual growth rate (CAGR) over 5 years of iShares Global Energy ETF is -4.7%, which is lower, thus worse compared to the benchmark SPY (10.8%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 2.9%, which is lower, thus worse than the value of 13.5% from the benchmark.

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.'

• Looking at the volatility of 20.6% in the last 5 years of iShares Global Energy ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.4%)
• Compared with SPY (12.3%) in the period of the last 3 years, the volatility of 16.7% is greater, thus worse.

DownVol:

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

• The downside volatility over 5 years of iShares Global Energy ETF is 21.4%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
• During the last 3 years, the downside deviation is 18.2%, which is higher, thus worse than the value of 13.9% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.62) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.35 of iShares Global Energy ETF is lower, thus worse.
• Compared with SPY (0.89) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.02 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 -0.34 in the last 5 years of iShares Global Energy ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.57)
• Looking at excess return divided by the downside deviation in of 0.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

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.'

• Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Ratio of 26 of iShares Global Energy ETF is greater, thus worse.
• Compared with SPY (4.04 ) in the period of the last 3 years, the Ulcer Index of 9.15 is greater, 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 -48.1 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 (-19.3 days)
• 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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 1256 days of iShares Global Energy ETF is higher, thus worse.
• During the last 3 years, the maximum days below previous high is 293 days, which is larger, 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.'

• The average days under water over 5 years of iShares Global Energy ETF is 629 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
• Looking at average days under water in of 102 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).