Description

The investment seeks to track the S&P Global 1200 Health Care 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 a part of the healthcare 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.'

Which means for our asset as example:
  • Looking at the total return of 79.3% in the last 5 years of iShares Global Healthcare ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (120.7%)
  • During the last 3 years, the total return, or increase in value is 40.2%, which is smaller, thus worse than the value of 44% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the annual performance (CAGR) of 12.4% of iShares Global Healthcare ETF is lower, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of 11.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (12.9%).

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.'

Using this definition on our asset we see for example:
  • Looking at the 30 days standard deviation of 17.2% in the last 5 years of iShares Global Healthcare ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.8%)
  • Compared with SPY (22.8%) in the period of the last 3 years, the historical 30 days volatility of 20.1% 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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of iShares Global Healthcare ETF is 12.2%, which is lower, thus better compared to the benchmark SPY (13.6%) in the same period.
  • Compared with SPY (16.7%) in the period of the last 3 years, the downside deviation of 14.4% 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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of return and volatility (Sharpe) of 0.57 in the last 5 years of iShares Global Healthcare ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.78)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.47, which is larger, thus better than the value of 0.46 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of iShares Global Healthcare ETF is 0.81, which is smaller, thus worse compared to the benchmark SPY (1.08) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.65, which is larger, thus better than the value of 0.62 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of iShares Global Healthcare ETF is 5.09 , which is smaller, thus better compared to the benchmark SPY (5.59 ) in the same period.
  • Compared with SPY (7.15 ) in the period of the last 3 years, the Ulcer Ratio of 5.54 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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -27.4 days in the last 5 years of iShares Global Healthcare ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -27.4 days is greater, 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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of iShares Global Healthcare ETF is 188 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 187 days is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days under water of 53 days of iShares Global Healthcare ETF is greater, thus worse.
  • Looking at average days under water in of 55 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares Global Healthcare ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.