Description

The investment seeks to track the investment results of the S&P Global 1200 Financials IndexTM. The fund generally invests at least 90% of its assets in securities of the underlying index and in depositary receipts representing securities of the underlying index. It may invest the remainder of its assets in certain futures, options and swap contracts, cash and cash equivalents, as well as in securities not included in the underlying index. The index measures the performance of companies that the index provider deems to be part of the financial sector of the economy and that the index provider believes are important to global markets.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • Looking at the total return, or increase in value of 139% in the last 5 years of iShares Global Financial ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (111.6%)
  • Compared with SPY (68%) in the period of the last 3 years, the total return, or performance of 84.3% is higher, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (16.2%) in the period of the last 5 years, the annual performance (CAGR) of 19.1% of iShares Global Financial ETF is higher, thus better.
  • During the last 3 years, the annual performance (CAGR) is 22.7%, which is higher, thus better than the value of 19% from the benchmark.

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.'

Which means for our asset as example:
  • The volatility over 5 years of iShares Global Financial ETF is 18.1%, which is greater, thus worse compared to the benchmark SPY (17.5%) in the same period.
  • During the last 3 years, the volatility is 17.1%, which is lower, thus better than the value of 17.5% from the benchmark.

DownVol:

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

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the downside risk of 12.4% of iShares Global Financial ETF is greater, thus worse.
  • Compared with SPY (11.5%) in the period of the last 3 years, the downside deviation of 11.7% is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.78) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.92 of iShares Global Financial ETF is greater, thus better.
  • Looking at Sharpe Ratio in of 1.18 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.94).

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.'

Using this definition on our asset we see for example:
  • The ratio of annual return and downside deviation over 5 years of iShares Global Financial ETF is 1.34, which is higher, thus better compared to the benchmark SPY (1.14) in the same period.
  • Looking at ratio of annual return and downside deviation in of 1.73 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.43).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Downside risk index of 9.35 of iShares Global Financial ETF is larger, thus worse.
  • Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Index of 4.83 is lower, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -27.2 days of iShares Global Financial ETF is lower, thus worse.
  • Looking at maximum DrawDown in of -15.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 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.'

Using this definition on our asset we see for example:
  • The maximum days below previous high over 5 years of iShares Global Financial ETF is 505 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 201 days, which is higher, thus worse than the value of 199 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.'

Which means for our asset as example:
  • The average days under water over 5 years of iShares Global Financial ETF is 125 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
  • During the last 3 years, the average days under water is 42 days, which is smaller, thus better than the value of 47 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares Global Financial ETF are hypothetical and do not account for slippage, fees or taxes.