iShares Global Consumer Staples ETF (KXI)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of 25.4% 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 (92.4%)
• Looking at total return, or increase in value in of 19.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (85%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SPY (14%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.6% of iShares Global Consumer Staples ETF is lower, thus worse.
• Looking at annual return (CAGR) in of 6.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.9%).

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.'

• The 30 days standard deviation over 5 years of iShares Global Consumer Staples ETF is 12.4%, which is lower, thus better compared to the benchmark SPY (17%) in the same period.
• Looking at 30 days standard deviation in of 11.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.1%).

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 volatility of 8.7% 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 (11.7%)
• Compared with SPY (10.1%) in the period of the last 3 years, the downside deviation of 7.9% is lower, 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 0.17 in the last 5 years of iShares Global Consumer Staples ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.68)
• During the last 3 years, the Sharpe Ratio is 0.31, which is lower, thus worse than the value of 1.35 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.'

• The downside risk / excess return profile over 5 years of iShares Global Consumer Staples ETF is 0.24, which is lower, thus worse compared to the benchmark SPY (0.98) in the same period.
• Looking at excess return divided by the downside deviation in of 0.46 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (2.02).

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 (8.44 ) in the period of the last 5 years, the Ulcer Index of 5.82 of iShares Global Consumer Staples ETF is smaller, thus better.
• Looking at Downside risk index in of 4.45 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.5 ).

MaxDD:

'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.'

• The maximum reduction from previous high over 5 years of iShares Global Consumer Staples ETF is -17.4 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high in of -11.9 days in the period of the last 3 years, we see it is relatively greater, 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 325 days of iShares Global Consumer Staples ETF is lower, thus better.
• During the last 3 years, the maximum days below previous high is 196 days, which is larger, thus worse than the value of 87 days from the benchmark.

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.'

• The average days under water over 5 years of iShares Global Consumer Staples ETF is 92 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Looking at average days under water in of 57 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20 days).