iShares Global Consumer Staples ETF (KXI)

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.'

• The total return, or increase in value over 5 years of iShares Global Consumer Staples ETF is 32.8%, which is smaller, thus worse compared to the benchmark SPY (111.4%) in the same period.
• During the last 3 years, the total return, or increase in value is 19.3%, which is smaller, thus worse than the value of 66.9% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of 5.9% 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 (16.2%)
• Compared with SPY (18.7%) in the period of the last 3 years, the annual performance (CAGR) of 6.1% 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.'

• Looking at the 30 days standard deviation of 12.3% in the last 5 years of iShares Global Consumer Staples ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17.3%)
• Looking at 30 days standard deviation in of 12% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.9%).

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.'

• The downside deviation over 5 years of iShares Global Consumer Staples ETF is 8.7%, which is lower, thus better compared to the benchmark SPY (11.9%) in the same period.
• Compared with SPY (11.2%) in the period of the last 3 years, the downside volatility of 8.2% is smaller, thus better.

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 ratio of return and volatility (Sharpe) of 0.27 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 (0.79)
• Compared with SPY (0.96) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.3 is lower, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of 0.39 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 (1.15)
• Compared with SPY (1.44) in the period of the last 3 years, the downside risk / excess return profile of 0.44 is lower, thus worse.

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.'

• Compared with the benchmark SPY (8.43 ) in the period of the last 5 years, the Ulcer Index of 5.56 of iShares Global Consumer Staples ETF is lower, thus better.
• During the last 3 years, the Ulcer Index is 4.91 , which is greater, thus worse than the value of 4.21 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -17.4 days of iShares Global Consumer Staples ETF is higher, thus better.
• Looking at maximum reduction from previous high in of -13.7 days in the period of the last 3 years, we see it is relatively higher, thus better 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). 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'

• The maximum days below previous high over 5 years of iShares Global Consumer Staples ETF is 325 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (97 days) in the period of the last 3 years, the maximum days below previous high of 262 days is higher, thus worse.

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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 90 days of iShares Global Consumer Staples ETF is smaller, thus better.
• Looking at average days under water in of 74 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (27 days).