Description of iShares Global Tech ETF

iShares Global Tech ETF

Statistics of iShares Global Tech ETF (YTD)

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TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (68.1%) in the period of the last 5 years, the total return, or performance of 113.6% of iShares Global Tech ETF is greater, thus better.
  • Looking at total return in of 77.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (47.1%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the compounded annual growth rate (CAGR) of 16.4% in the last 5 years of iShares Global Tech ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (11%)
  • Looking at annual return (CAGR) in of 21.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (13.8%).

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of iShares Global Tech ETF is 17%, which is greater, thus worse compared to the benchmark SPY (13.2%) in the same period.
  • Compared with SPY (12.4%) in the period of the last 3 years, the volatility of 17.3% is larger, 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:
  • Looking at the downside risk of 19.3% in the last 5 years of iShares Global Tech ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
  • Looking at downside deviation in of 20.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14%).

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.'

Which means for our asset as example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.82 in the last 5 years of iShares Global Tech ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.64)
  • During the last 3 years, the risk / return profile (Sharpe) is 1.08, which is larger, thus better than the value of 0.91 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the excess return divided by the downside deviation of 0.72 of iShares Global Tech ETF is higher, thus better.
  • Looking at ratio of annual return and downside deviation in of 0.93 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.8).

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.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Index of 5.17 in the last 5 years of iShares Global Tech ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (3.95 )
  • During the last 3 years, the Downside risk index is 5.36 , which is greater, thus better than the value of 4 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -23.6 days of iShares Global Tech ETF is lower, thus worse.
  • Looking at maximum DrawDown in of -23.6 days in the period of the last 3 years, we see it is relatively lower, thus worse 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of iShares Global Tech ETF is 149 days, which is smaller, thus better compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days below previous high in of 136 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (131 days).

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:
  • The average time in days below previous high water mark over 5 years of iShares Global Tech ETF is 33 days, which is lower, thus better compared to the benchmark SPY (39 days) in the same period.
  • During the last 3 years, the average days under water is 27 days, which is smaller, thus better than the value of 33 days from the benchmark.

Performance of iShares Global Tech ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Global Tech ETF
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Allocations

Returns of iShares Global Tech ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares Global Tech 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.