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:

'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.'

Applying this definition to our asset in some examples:
  • The total return over 5 years of iShares Global Financial ETF is 149.1%, which is greater, thus better compared to the benchmark SPY (115%) in the same period.
  • Looking at total return, or performance in of 101.9% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (90.2%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:
  • The compounded annual growth rate (CAGR) over 5 years of iShares Global Financial ETF is 20.1%, which is larger, thus better compared to the benchmark SPY (16.6%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 26.5%, which is larger, thus better than the value of 24% 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.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 17.9% in the last 5 years of iShares Global Financial ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.2%)
  • Looking at 30 days standard deviation in of 16.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.5%).

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:
  • Looking at the downside volatility of 12.2% in the last 5 years of iShares Global Financial ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.8%)
  • Compared with SPY (10.7%) in the period of the last 3 years, the downside volatility of 11% 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 (0.82) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.98 of iShares Global Financial ETF is higher, thus better.
  • Compared with SPY (1.31) in the period of the last 3 years, the Sharpe Ratio of 1.48 is larger, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (1.19) in the period of the last 5 years, the downside risk / excess return profile of 1.45 of iShares Global Financial ETF is greater, thus better.
  • Looking at excess return divided by the downside deviation in of 2.19 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (2.02).

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 9.31 in the last 5 years of iShares Global Financial ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.42 )
  • Looking at Ulcer Ratio in of 4.12 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.65 ).

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.'

Using this definition on our asset we see for example:
  • The maximum reduction from previous high over 5 years of iShares Global Financial ETF is -27.2 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
  • Looking at maximum drop from peak to valley in of -14.3 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 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 505 days of iShares Global Financial ETF is higher, thus worse.
  • During the last 3 years, the maximum days below previous high is 201 days, which is larger, thus worse than the value of 87 days from the benchmark.

AveDuration:

'The Average 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. 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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of iShares Global Financial ETF is 124 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
  • Looking at average days below previous high in of 40 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21 days).

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.