iShares Global Healthcare ETF (IXJ)

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.'

• Looking at the total return of 48.2% in the last 5 years of iShares Global Healthcare ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (62.7%)
• During the last 3 years, the total return, or performance is 34.8%, which is larger, thus better than the value of 34.7% from the benchmark.

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.'

• Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 8.2% of iShares Global Healthcare ETF is smaller, thus worse.
• Compared with SPY (10.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 10.5% 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 (20.9%) in the period of the last 5 years, the historical 30 days volatility of 18% of iShares Global Healthcare ETF is lower, thus better.
• Compared with SPY (24.1%) in the period of the last 3 years, the historical 30 days volatility of 20.3% is smaller, thus better.

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 volatility of 12.9% in the last 5 years of iShares Global Healthcare ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the downside risk of 14.3% is smaller, 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.'

• Compared with the benchmark SPY (0.37) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.32 of iShares Global Healthcare ETF is lower, thus worse.
• Compared with SPY (0.33) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.39 is larger, thus better.

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 downside risk / excess return profile of 0.44 in the last 5 years of iShares Global Healthcare ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.51)
• Compared with SPY (0.45) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.56 is higher, thus better.

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 (7.71 ) in the period of the last 5 years, the Ulcer Ratio of 5.88 of iShares Global Healthcare ETF is smaller, thus better.
• Compared with SPY (9.08 ) in the period of the last 3 years, the Ulcer Index of 6.15 is lower, thus better.

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 DrawDown over 5 years of iShares Global Healthcare ETF is -27.4 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -27.4 days is higher, thus better.

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.'

• Looking at the maximum time in days below previous high water mark of 188 days in the last 5 years of iShares Global Healthcare ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (189 days)
• During the last 3 years, the maximum days below previous high is 122 days, which is lower, thus better than the value of 189 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.'

• Compared with the benchmark SPY (46 days) in the period of the last 5 years, the average days below previous high of 47 days of iShares Global Healthcare ETF is greater, thus worse.
• Looking at average days under water in of 32 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (45 days).