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.'

• The total return, or increase in value over 5 years of iShares Global Healthcare ETF is 31.5%, which is smaller, thus worse compared to the benchmark SPY (94.2%) in the same period.
• Looking at total return, or performance in of 5.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (34.4%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of iShares Global Healthcare ETF is 5.6%, which is lower, thus worse compared to the benchmark SPY (14.2%) in the same period.
• Looking at annual performance (CAGR) in of 1.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.4%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 17.4% in the last 5 years of iShares Global Healthcare ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21%)
• Looking at 30 days standard deviation in of 13.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.5%).

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 12.3% 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%)
• Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 9.7% 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.'

• The risk / return profile (Sharpe) over 5 years of iShares Global Healthcare ETF is 0.18, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.05, which is lower, thus worse than the value of 0.45 from the benchmark.

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.'

• Compared with the benchmark SPY (0.78) in the period of the last 5 years, the excess return divided by the downside deviation of 0.26 of iShares Global Healthcare ETF is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of -0.07 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.64).

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.'

• Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Index of 6.6 of iShares Global Healthcare ETF is lower, thus better.
• Compared with SPY (8.87 ) in the period of the last 3 years, the Ulcer Index of 7.33 is lower, thus better.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -27.4 days of iShares Global Healthcare ETF is larger, thus better.
• Compared with SPY (-22.4 days) in the period of the last 3 years, the maximum reduction from previous high of -17.5 days is larger, thus better.

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.'

• Looking at the maximum days under water of 437 days in the last 5 years of iShares Global Healthcare ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (375 days) in the period of the last 3 years, the maximum days under water of 437 days is larger, thus worse.

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.'

• Looking at the average days below previous high of 100 days in the last 5 years of iShares Global Healthcare ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (122 days)
• During the last 3 years, the average time in days below previous high water mark is 144 days, which is higher, thus worse than the value of 113 days from the benchmark.