iShares Global Tech ETF (IXN)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or increase in value of 139.3% in the last 5 years of iShares Global Tech ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (74.2%)
• Looking at total return, or performance in of 92.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (50.1%).

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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 19.1% of iShares Global Tech ETF is greater, thus better.
• Compared with SPY (14.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 24.5% is greater, thus better.

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.'

• Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the volatility of 17.7% of iShares Global Tech ETF is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 18.5%, which is greater, thus worse than the value of 13% from the benchmark.

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.'

• The downside volatility over 5 years of iShares Global Tech ETF is 12.6%, which is larger, thus worse compared to the benchmark SPY (9.6%) in the same period.
• Compared with SPY (9.4%) in the period of the last 3 years, the downside risk of 13.2% is larger, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.69) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.94 of iShares Global Tech ETF is greater, thus better.
• Looking at risk / return profile (Sharpe) in of 1.19 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.93).

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.'

• Looking at the excess return divided by the downside deviation of 1.32 in the last 5 years of iShares Global Tech ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.96)
• Compared with SPY (1.27) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.67 is greater, thus better.

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.'

• The Downside risk index over 5 years of iShares Global Tech ETF is 5.22 , which is greater, thus worse compared to the benchmark SPY (3.97 ) in the same period.
• Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Ratio of 5.47 is higher, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of iShares Global Tech ETF is -23.6 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -23.6 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

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 below previous high of 154 days in the last 5 years of iShares Global Tech ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum days below previous high is 154 days, which is greater, thus worse than the value of 139 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 below previous high over 5 years of iShares Global Tech ETF is 36 days, which is lower, thus better compared to the benchmark SPY (42 days) in the same period.
• During the last 3 years, the average days below previous high is 31 days, which is lower, thus better than the value of 37 days from the benchmark.