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 25.3% in the last 5 years of iShares Global Healthcare ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (104.5%)
• During the last 3 years, the total return, or performance is 4.9%, which is lower, thus worse than the value of 57.9% from the benchmark.

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 Healthcare ETF is 4.6%, which is lower, thus worse compared to the benchmark SPY (15.4%) in the same period.
• Looking at annual return (CAGR) in of 1.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (16.5%).

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 (17.5%) in the period of the last 5 years, the 30 days standard deviation of 14.1% of iShares Global Healthcare ETF is smaller, thus better.
• Compared with SPY (17.2%) in the period of the last 3 years, the volatility of 13.8% is smaller, thus better.

DownVol:

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

• The downside risk over 5 years of iShares Global Healthcare ETF is 10%, which is smaller, thus better compared to the benchmark SPY (12.1%) in the same period.
• During the last 3 years, the downside volatility is 9.9%, which is lower, thus better than the value of 11.5% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares Global Healthcare ETF is 0.15, which is lower, thus worse compared to the benchmark SPY (0.74) in the same period.
• Compared with SPY (0.81) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.07 is lower, thus worse.

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 ratio of annual return and downside deviation of 0.21 in the last 5 years of iShares Global Healthcare ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.07)
• Looking at excess return divided by the downside deviation in of -0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.22).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Downside risk index of 7.32 of iShares Global Healthcare ETF is lower, thus better.
• During the last 3 years, the Ulcer Index is 7 , which is greater, thus worse than the value of 5.3 from the benchmark.

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.'

• Looking at the maximum reduction from previous high of -18.1 days in the last 5 years of iShares Global Healthcare ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -18.1 days in the period of the last 3 years, we see it is relatively higher, 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'

• The maximum time in days below previous high water mark over 5 years of iShares Global Healthcare ETF is 437 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 229 days, which is larger, 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.'

• The average time in days below previous high water mark over 5 years of iShares Global Healthcare ETF is 114 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Looking at average time in days below previous high water mark in of 60 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (47 days).