iShares Global Comm Services ETF (IXP)

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.'

• Compared with the benchmark SPY (109.3%) in the period of the last 5 years, the total return of 85.9% of iShares Global Comm Services ETF is smaller, thus worse.
• Looking at total return, or performance in of 49.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (34.3%).

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 (16%) in the period of the last 5 years, the annual return (CAGR) of 13.2% of iShares Global Comm Services ETF is smaller, thus worse.
• Compared with SPY (10.4%) in the period of the last 3 years, the annual performance (CAGR) of 14.3% is greater, thus better.

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.'

• Looking at the historical 30 days volatility of 19.8% in the last 5 years of iShares Global Comm Services ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18%)
• Compared with SPY (18.8%) in the period of the last 3 years, the volatility of 20.4% is greater, thus worse.

DownVol:

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

• Looking at the downside volatility of 13.7% in the last 5 years of iShares Global Comm Services ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (12.5%)
• Compared with SPY (13%) in the period of the last 3 years, the downside deviation of 13.9% is greater, thus worse.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares Global Comm Services ETF is 0.54, which is lower, thus worse compared to the benchmark SPY (0.75) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.58, which is higher, thus better than the value of 0.42 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.'

• The ratio of annual return and downside deviation over 5 years of iShares Global Comm Services ETF is 0.78, which is smaller, thus worse compared to the benchmark SPY (1.07) in the same period.
• Compared with SPY (0.6) in the period of the last 3 years, the excess return divided by the downside deviation of 0.85 is larger, 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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 18 of iShares Global Comm Services ETF is higher, thus worse.
• Looking at Ulcer Index in of 8.51 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.75 ).

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.'

• Looking at the maximum reduction from previous high of -43.9 days in the last 5 years of iShares Global Comm Services ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -26.9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 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.'

• The maximum time in days below previous high water mark over 5 years of iShares Global Comm Services ETF is 689 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 272 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 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.'

• The average time in days below previous high water mark over 5 years of iShares Global Comm Services ETF is 213 days, which is greater, thus worse compared to the benchmark SPY (118 days) in the same period.
• Looking at average time in days below previous high water mark in of 66 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (45 days).