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 (116.9%) in the period of the last 5 years, the total return of 98.5% of iShares Global Materials ETF is lower, thus worse.
• Looking at total return, or performance in of 40.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (63.4%).

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 (16.8%) in the period of the last 5 years, the annual performance (CAGR) of 14.7% of iShares Global Materials ETF is lower, thus worse.
• Compared with SPY (17.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 11.9% 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 21.2% in the last 5 years of iShares Global Materials ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.7%)
• Looking at 30 days standard deviation in of 24.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.5%).

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 deviation of 15.4% in the last 5 years of iShares Global Materials ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
• Compared with SPY (16.3%) in the period of the last 3 years, the downside deviation of 17.9% is larger, thus worse.

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.'

• The Sharpe Ratio over 5 years of iShares Global Materials ETF is 0.58, which is lower, thus worse compared to the benchmark SPY (0.76) in the same period.
• Compared with SPY (0.68) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.38 is lower, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of iShares Global Materials ETF is 0.79, which is lower, thus worse compared to the benchmark SPY (1.05) in the same period.
• Looking at downside risk / excess return profile in of 0.53 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.94).

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 Ratio over 5 years of iShares Global Materials ETF is 9.89 , which is greater, thus worse compared to the benchmark SPY (5.58 ) in the same period.
• During the last 3 years, the Downside risk index is 9.8 , which is larger, thus worse than the value of 6.83 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 (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -39.5 days of iShares Global Materials ETF is smaller, thus worse.
• Looking at maximum reduction from previous high in of -37 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

• Looking at the maximum days under water of 642 days in the last 5 years of iShares Global Materials ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 532 days is higher, thus worse.

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 below previous high over 5 years of iShares Global Materials ETF is 189 days, which is larger, thus worse compared to the benchmark SPY (33 days) in the same period.
• Compared with SPY (35 days) in the period of the last 3 years, the average days under water of 203 days is higher, thus worse.