Description

The investment seeks to track the S&P Global 1200 Consumer Staples (Sector) Capped IndexTM. The fund generally invests at least 90% of its assets in securities of the underlying index and in depositary receipts representing securities of the underlying index. It may invest the remainder of its assets in certain futures, options and swap contracts, cash and cash equivalents, as well as in securities not included in the underlying index. The index measures the performance of global equities in the consumer staples sector.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of iShares Global Consumer Staples ETF is 27.8%, which is smaller, thus worse compared to the benchmark SPY (63%) in the same period.
  • Compared with SPY (33.5%) in the period of the last 3 years, the total return, or performance of 16% is lower, thus worse.

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.'

Which means for our asset as example:
  • The compounded annual growth rate (CAGR) over 5 years of iShares Global Consumer Staples ETF is 5%, which is lower, thus worse compared to the benchmark SPY (10.3%) in the same period.
  • Compared with SPY (10.1%) in the period of the last 3 years, the annual performance (CAGR) of 5.1% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the historical 30 days volatility of 16.2% of iShares Global Consumer Staples ETF is smaller, thus better.
  • Looking at 30 days standard deviation in of 18.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (25.1%).

DownVol:

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

Using this definition on our asset we see for example:
  • The downside volatility over 5 years of iShares Global Consumer Staples ETF is 11.7%, which is smaller, thus better compared to the benchmark SPY (15.6%) in the same period.
  • Compared with SPY (18.1%) in the period of the last 3 years, the downside risk of 13.7% is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the risk / return profile (Sharpe) of 0.16 in the last 5 years of iShares Global Consumer Staples ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
  • During the last 3 years, the Sharpe Ratio is 0.14, which is smaller, thus worse than the value of 0.3 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.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of iShares Global Consumer Staples ETF is 0.22, which is lower, thus worse compared to the benchmark SPY (0.5) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.19, which is smaller, thus worse than the value of 0.42 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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 5.89 in the last 5 years of iShares Global Consumer Staples ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.88 )
  • Compared with SPY (11 ) in the period of the last 3 years, the Ulcer Ratio of 6.65 is smaller, thus better.

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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -24.6 days in the last 5 years of iShares Global Consumer Staples ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum DrawDown in of -24.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum days under water of 282 days of iShares Global Consumer Staples ETF is larger, thus worse.
  • During the last 3 years, the maximum days under water is 272 days, which is smaller, thus better than the value of 273 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 81 days in the last 5 years of iShares Global Consumer Staples ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (57 days)
  • Compared with SPY (73 days) in the period of the last 3 years, the average time in days below previous high water mark of 72 days is lower, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares Global Consumer Staples 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.