iShares MSCI Global Select Metals & Mining Producers Fund (PICK)

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 42.8% in the last 5 years of iShares MSCI Global Select Metals & Mining Producers Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.1%)
• During the last 3 years, the total return is 96.9%, which is larger, thus better than the value of 47% from the benchmark.

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 MSCI Global Select Metals & Mining Producers Fund is 7.4%, which is lower, thus worse compared to the benchmark SPY (11%) in the same period.
• Compared with SPY (13.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 25.3% is larger, thus better.

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 historical 30 days volatility over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is 31.4%, which is higher, thus worse compared to the benchmark SPY (21.4%) in the same period.
• Compared with SPY (18.7%) in the period of the last 3 years, the volatility of 29.8% is larger, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside deviation of 22.4% of iShares MSCI Global Select Metals & Mining Producers Fund is greater, thus worse.
• During the last 3 years, the downside risk is 20.5%, which is larger, thus worse than the value of 13.3% from the benchmark.

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 ratio of return and volatility (Sharpe) over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is 0.16, which is lower, thus worse compared to the benchmark SPY (0.4) in the same period.
• Looking at Sharpe Ratio in of 0.76 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.6).

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 downside risk / excess return profile over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is 0.22, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.11, which is higher, thus better than the value of 0.84 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Downside risk index over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is 18 , which is greater, thus worse compared to the benchmark SPY (9.45 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 15 , which is higher, thus worse than the value of 10 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 -51.1 days of iShares MSCI Global Select Metals & Mining Producers Fund is lower, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -36.4 days is smaller, thus worse.

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 below previous high over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is 622 days, which is higher, thus worse compared to the benchmark SPY (351 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 288 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (351 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.'

• Looking at the average days under water of 212 days in the last 5 years of iShares MSCI Global Select Metals & Mining Producers Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (78 days)
• During the last 3 years, the average days below previous high is 94 days, which is lower, thus better than the value of 101 days from the benchmark.