iShares Global Healthcare ETF (IXJ)

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.'

• Looking at the total return, or performance of 28.3% in the last 5 years of iShares Global Healthcare ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (80.6%)
• Looking at total return, or performance in of 24.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (68.3%).

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.'

• The annual return (CAGR) over 5 years of iShares Global Healthcare ETF is 5.1%, which is lower, thus worse compared to the benchmark SPY (12.6%) in the same period.
• Compared with SPY (19.1%) in the period of the last 3 years, the annual performance (CAGR) of 7.7% is smaller, 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.'

• Looking at the historical 30 days volatility of 14.5% in the last 5 years of iShares Global Healthcare ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the historical 30 days volatility is 14.1%, which is smaller, thus better than the value of 15.3% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 10% in the last 5 years of iShares Global Healthcare ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (11.8%)
• Compared with SPY (10.3%) in the period of the last 3 years, the downside deviation of 9.7% is lower, thus better.

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.'

• The Sharpe Ratio over 5 years of iShares Global Healthcare ETF is 0.18, which is lower, thus worse compared to the benchmark SPY (0.59) in the same period.
• Compared with SPY (1.08) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.37 is smaller, 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 downside risk / excess return profile of 0.26 in the last 5 years of iShares Global Healthcare ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.86)
• Looking at ratio of annual return and downside deviation in of 0.54 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.61).

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.'

• The Downside risk index over 5 years of iShares Global Healthcare ETF is 7.97 , which is smaller, thus better compared to the benchmark SPY (8.46 ) in the same period.
• Compared with SPY (3.53 ) in the period of the last 3 years, the Ulcer Ratio of 7.76 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 DrawDown of -18.1 days in the last 5 years of iShares Global Healthcare ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -18.1 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 437 days of iShares Global Healthcare ETF is lower, thus better.
• During the last 3 years, the maximum days under water is 336 days, which is higher, thus worse than the value of 87 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.'

• Looking at the average time in days below previous high water mark of 136 days in the last 5 years of iShares Global Healthcare ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average time in days below previous high water mark is 95 days, which is higher, thus worse than the value of 21 days from the benchmark.