Description of iShares Global Healthcare ETF

iShares Global Healthcare ETF

Statistics of iShares Global Healthcare ETF (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.'

Using this definition on our asset we see for example:
  • The total return, or increase in value over 5 years of iShares Global Healthcare ETF is 47.8%, which is lower, thus worse compared to the benchmark SPY (68.2%) in the same period.
  • During the last 3 years, the total return is 36.5%, which is smaller, thus worse than the value of 47.7% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:
  • Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual performance (CAGR) of 8.1% of iShares Global Healthcare ETF is lower, thus worse.
  • During the last 3 years, the annual return (CAGR) is 10.9%, which is lower, thus worse than the value of 13.9% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the volatility of 13.9% of iShares Global Healthcare ETF is larger, thus worse.
  • Compared with SPY (12.4%) in the period of the last 3 years, the 30 days standard deviation of 12.8% is greater, thus worse.

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside risk of 14.8% of iShares Global Healthcare ETF is greater, thus worse.
  • During the last 3 years, the downside volatility is 13.9%, which is lower, thus better than the value of 14% 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.'

Which means for our asset as example:
  • The ratio of return and volatility (Sharpe) over 5 years of iShares Global Healthcare ETF is 0.41, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
  • During the last 3 years, the Sharpe Ratio is 0.66, which is lower, thus worse than the value of 0.92 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of 0.38 in the last 5 years of iShares Global Healthcare ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
  • During the last 3 years, the downside risk / excess return profile is 0.61, which is smaller, thus worse than the value of 0.81 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Downside risk index of 7.02 of iShares Global Healthcare ETF is higher, thus better.
  • During the last 3 years, the Ulcer Index is 5.23 , which is higher, thus better than the value of 4 from the benchmark.

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:
  • The maximum reduction from previous high over 5 years of iShares Global Healthcare ETF is -18.8 days, which is higher, thus better compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum DrawDown in of -14.4 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-19.3 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) in days.'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of iShares Global Healthcare ETF is 470 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Compared with SPY (131 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 188 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.'

Applying this definition to our asset in some examples:
  • Looking at the average time in days below previous high water mark of 116 days in the last 5 years of iShares Global Healthcare ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (39 days)
  • Looking at average days under water in of 56 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (33 days).

Performance of iShares Global Healthcare ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Global Healthcare ETF
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Allocations

Returns of iShares Global Healthcare ETF (%)

  • "Year" returns in the table above are not equal to 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.