iShares Global Comm Services ETF (IXP)

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.'

• Looking at the total return of 30% 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 (60.6%)
• Compared with SPY (38%) in the period of the last 3 years, the total return, or increase in value of 10.7% is lower, thus worse.

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.'

• Looking at the compounded annual growth rate (CAGR) of 5.4% 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 (10%)
• During the last 3 years, the annual return (CAGR) is 3.5%, which is lower, thus worse than the value of 11.3% from the benchmark.

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 30 days standard deviation of 21.9% 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 (21.5%)
• During the last 3 years, the historical 30 days volatility is 20.8%, which is higher, thus worse than the value of 17.9% 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.'

• Looking at the downside deviation of 15.7% in the last 5 years of iShares Global Comm Services ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.5%)
• Looking at downside deviation in of 14.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.5%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.13 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 (0.35)
• Looking at ratio of return and volatility (Sharpe) in of 0.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.49).

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.'

• The ratio of annual return and downside deviation over 5 years of iShares Global Comm Services ETF is 0.18, which is lower, thus worse compared to the benchmark SPY (0.48) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.07, which is smaller, thus worse than the value of 0.71 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.'

• Looking at the Ulcer Index of 17 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 (9.55 )
• Looking at Downside risk index in of 22 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

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.'

• The maximum drop from peak to valley over 5 years of iShares Global Comm Services ETF is -43.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -43.9 days is lower, thus worse.

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 days under water over 5 years of iShares Global Comm Services ETF is 513 days, which is larger, thus worse compared to the benchmark SPY (431 days) in the same period.
• During the last 3 years, the maximum days below previous high is 513 days, which is greater, thus worse than the value of 431 days from the benchmark.

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.'

• Looking at the average days below previous high of 132 days in the last 5 years of iShares Global Comm Services ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (105 days)
• During the last 3 years, the average days under water is 192 days, which is higher, thus worse than the value of 144 days from the benchmark.