iShares Global Materials ETF (MXI)

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.'

• Compared with the benchmark SPY (60.7%) in the period of the last 5 years, the total return, or performance of 19% of iShares Global Materials ETF is lower, thus worse.
• Compared with SPY (29.5%) in the period of the last 3 years, the total return of 16.2% is smaller, thus worse.

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.'

• The annual performance (CAGR) over 5 years of iShares Global Materials ETF is 3.5%, which is lower, thus worse compared to the benchmark SPY (10%) in the same period.
• Compared with SPY (9%) in the period of the last 3 years, the annual performance (CAGR) of 5.1% is lower, thus worse.

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 historical 30 days volatility of 22.6% in the last 5 years of iShares Global Materials ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (20.8%)
• Looking at volatility in of 25.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (24%).

DownVol:

'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 deviation of 16.6% in the last 5 years of iShares Global Materials ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the downside risk of 19% is larger, thus worse.

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.'

• Looking at the Sharpe Ratio of 0.05 in the last 5 years of iShares Global Materials ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.36)
• Compared with SPY (0.27) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.1 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 downside risk / excess return profile of 0.06 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)
• Looking at downside risk / excess return profile in of 0.14 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.37).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Index of 11 in the last 5 years of iShares Global Materials ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (7.52 )
• Compared with SPY (8.81 ) in the period of the last 3 years, the Downside risk index of 9.89 is higher, thus worse.

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.'

• Looking at the maximum drop from peak to valley of -39.5 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)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -36.9 days is smaller, thus worse.

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 time in days below previous high water mark over 5 years of iShares Global Materials ETF is 642 days, which is greater, thus worse compared to the benchmark SPY (182 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 222 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (182 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.'

• The average days under water over 5 years of iShares Global Materials ETF is 203 days, which is larger, thus worse compared to the benchmark SPY (45 days) in the same period.
• Looking at average days below previous high in of 63 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (43 days).