Description of iShares Global Consumer Staples ETF

iShares Global Consumer Staples ETF

Statistics of iShares Global Consumer Staples ETF (YTD)

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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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (67.7%) in the period of the last 5 years, the total return, or increase in value of 30.8% of iShares Global Consumer Staples ETF is smaller, thus worse.
  • Compared with SPY (46.7%) in the period of the last 3 years, the total return, or performance of 25.9% 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 annual return (CAGR) over 5 years of iShares Global Consumer Staples ETF is 5.5%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
  • Looking at compounded annual growth rate (CAGR) in of 8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.7%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Applying this definition to our asset in some examples:
  • Looking at the historical 30 days volatility of 11.3% 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 (13.5%)
  • Looking at historical 30 days volatility in of 9.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.8%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk of 12.4% 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 (14.8%)
  • Looking at downside risk in of 11.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.6%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Which means for our asset as example:
  • 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 (0.62)
  • During the last 3 years, the Sharpe Ratio is 0.56, which is lower, thus worse than the value of 0.87 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Using this definition on our asset we see for example:
  • The excess return divided by the downside deviation over 5 years of iShares Global Consumer Staples ETF is 0.24, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
  • Compared with SPY (0.76) in the period of the last 3 years, the excess return divided by the downside deviation of 0.5 is smaller, 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.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of iShares Global Consumer Staples ETF is 5.06 , which is larger, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Looking at Downside risk index in of 5.5 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.1 ).

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high of -16 days in the last 5 years of iShares Global Consumer Staples ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum drop from peak to valley in of -16 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-19.3 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days below previous high of 341 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 (187 days)
  • Looking at maximum days below previous high in of 341 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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.'

Using this definition on our asset we see for example:
  • 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 higher, thus worse in comparison to the benchmark SPY (42 days)
  • During the last 3 years, the average time in days below previous high water mark is 102 days, which is greater, thus worse than the value of 36 days from the benchmark.

Performance of iShares Global Consumer Staples ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Global Consumer Staples ETF
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Allocations

Returns of iShares Global Consumer Staples ETF (%)

  • 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.