iShares Global Materials ETF (MXI)

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.'

• Looking at the total return, or increase in value of 63.6% in the last 5 years of iShares Global Materials ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (78.4%)
• Compared with SPY (44.1%) in the period of the last 3 years, the total return of 51.4% is larger, thus better.

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.'

• The annual return (CAGR) over 5 years of iShares Global Materials ETF is 10.4%, which is lower, thus worse compared to the benchmark SPY (12.3%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 14.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (12.9%).

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.'

• Looking at the volatility of 21.6% in the last 5 years of iShares Global Materials ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (19.9%)
• Looking at historical 30 days volatility in of 24.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (23.1%).

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.'

• Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside risk of 15.8% of iShares Global Materials ETF is larger, thus worse.
• Looking at downside deviation in of 18% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (16.9%).

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.'

• Looking at the Sharpe Ratio of 0.36 in the last 5 years of iShares Global Materials ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
• Compared with SPY (0.45) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.5 is higher, thus better.

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.'

• Compared with the benchmark SPY (0.67) in the period of the last 5 years, the excess return divided by the downside deviation of 0.5 of iShares Global Materials ETF is lower, thus worse.
• Compared with SPY (0.62) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.68 is larger, thus better.

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.'

• The Ulcer Index over 5 years of iShares Global Materials ETF is 10 , which is greater, thus worse compared to the benchmark SPY (6.16 ) in the same period.
• Compared with SPY (6.87 ) in the period of the last 3 years, the Ulcer Ratio of 7.88 is higher, thus worse.

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.'

• Looking at the maximum DrawDown of -39.6 days in the last 5 years of iShares Global Materials ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -36.9 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days under water over 5 years of iShares Global Materials ETF is 642 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum days under water in of 222 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (119 days).

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.'

• The average days under water over 5 years of iShares Global Materials ETF is 202 days, which is higher, thus worse compared to the benchmark SPY (35 days) in the same period.
• Looking at average days under water in of 60 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (27 days).