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.'

• Compared with the benchmark SPY (96.6%) in the period of the last 5 years, the total return, or performance of 36.5% of iShares Global Healthcare ETF is lower, thus worse.
• During the last 3 years, the total return is 22.6%, which is lower, thus worse than the value of 82.2% 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.'

• Compared with the benchmark SPY (14.5%) in the period of the last 5 years, the annual return (CAGR) of 6.5% of iShares Global Healthcare ETF is smaller, thus worse.
• Compared with SPY (22.3%) in the period of the last 3 years, the annual return (CAGR) of 7.1% is lower, thus worse.

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.'

• The historical 30 days volatility over 5 years of iShares Global Healthcare ETF is 14%, which is smaller, thus better compared to the benchmark SPY (17.1%) in the same period.
• Looking at volatility in of 13.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (15.3%).

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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 9.8% of iShares Global Healthcare ETF is smaller, thus better.
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 9.2% 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 ratio of return and volatility (Sharpe) over 5 years of iShares Global Healthcare ETF is 0.28, which is lower, thus worse compared to the benchmark SPY (0.7) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.35, which is lower, thus worse than the value of 1.3 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.'

• Compared with the benchmark SPY (1.02) in the period of the last 5 years, the excess return divided by the downside deviation of 0.4 of iShares Global Healthcare ETF is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.5, which is lower, thus worse than the value of 1.94 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.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Ulcer Index of 7.76 of iShares Global Healthcare ETF is lower, thus better.
• Compared with SPY (3.52 ) in the period of the last 3 years, the Downside risk index of 7.48 is higher, thus worse.

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 (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -18.1 days of iShares Global Healthcare ETF is higher, thus better.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -18.1 days is higher, 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.'

• The maximum days below previous high 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 time in days below previous high water mark is 336 days, which is greater, 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.'

• The average days under water over 5 years of iShares Global Healthcare ETF is 137 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
• Compared with SPY (21 days) in the period of the last 3 years, the average days below previous high of 97 days is higher, thus worse.