'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of 51.8% 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 (115.6%)
- During the last 3 years, the total return is 31.4%, which is lower, thus worse than the value of 43% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The annual performance (CAGR) over 5 years of iShares Global Comm Services ETF is 8.7%, which is lower, thus worse compared to the benchmark SPY (16.6%) in the same period.
- During the last 3 years, the annual return (CAGR) is 9.5%, which is lower, thus worse than the value of 12.6% from the benchmark.

'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.'

Which means for our asset as example:- The volatility over 5 years of iShares Global Comm Services ETF is 17.8%, which is smaller, thus better compared to the benchmark SPY (18.8%) in the same period.
- Looking at volatility in of 20.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.8%).

'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.'

Using this definition on our asset we see for example:- The downside volatility over 5 years of iShares Global Comm Services ETF is 13%, which is smaller, thus better compared to the benchmark SPY (13.6%) in the same period.
- Looking at downside deviation in of 15.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.7%).

'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:- Compared with the benchmark SPY (0.75) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.35 of iShares Global Comm Services ETF is lower, thus worse.
- Compared with SPY (0.44) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.34 is lower, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (1.04) in the period of the last 5 years, the downside risk / excess return profile of 0.48 of iShares Global Comm Services ETF is smaller, thus worse.
- Looking at downside risk / excess return profile in of 0.46 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.61).

'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.'

Which means for our asset as example:- The Ulcer Index over 5 years of iShares Global Comm Services ETF is 6.91 , which is higher, thus worse compared to the benchmark SPY (5.59 ) in the same period.
- Compared with SPY (7.14 ) in the period of the last 3 years, the Ulcer Ratio of 8.03 is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -27.1 days of iShares Global Comm Services ETF is greater, thus better.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -27.1 days is higher, thus better.

'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'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of 334 days 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 (139 days)
- During the last 3 years, the maximum days below previous high is 313 days, which is greater, thus worse than the value of 139 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The average time in days below previous high water mark over 5 years of iShares Global Comm Services ETF is 100 days, which is higher, thus worse compared to the benchmark SPY (33 days) in the same period.
- Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 86 days is higher, thus worse.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of iShares Global Comm Services 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.