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

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return, or performance over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is 66.7%, which is higher, thus better compared to the benchmark SPY (63%) in the same period.
• Compared with SPY (33.5%) in the period of the last 3 years, the total return of 97.1% is higher, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual performance (CAGR) of 10.8% in the last 5 years of iShares MSCI Global Select Metals & Mining Producers Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.3%)
• Looking at annual performance (CAGR) in of 25.3% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (10.1%).

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 volatility over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is 31.3%, which is larger, thus worse compared to the benchmark SPY (21.6%) in the same period.
• During the last 3 years, the 30 days standard deviation is 36.1%, which is larger, thus worse than the value of 25.1% from the benchmark.

DownVol:

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

• Looking at the downside deviation of 22.3% 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 (15.6%)
• During the last 3 years, the downside volatility is 25.5%, which is larger, thus worse than the value of 18.1% 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.'

• Compared with the benchmark SPY (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.26 of iShares MSCI Global Select Metals & Mining Producers Fund is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.63, which is higher, thus better than the value of 0.3 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of 0.37 in the last 5 years of iShares MSCI Global Select Metals & Mining Producers Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.5)
• During the last 3 years, the excess return divided by the downside deviation is 0.9, which is higher, thus better than the value of 0.42 from the benchmark.

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 (8.88 ) in the period of the last 5 years, the Ulcer Index of 18 of iShares MSCI Global Select Metals & Mining Producers Fund is larger, thus worse.
• During the last 3 years, the Downside risk index is 16 , which is higher, thus worse than the value of 11 from the benchmark.

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 -51.7 days in the last 5 years of iShares MSCI Global Select Metals & Mining Producers Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum drop from peak to valley in of -42.6 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). 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 (273 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 696 days of iShares MSCI Global Select Metals & Mining Producers Fund is greater, thus worse.
• Looking at maximum days under water in of 210 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (273 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 below previous high of 236 days in the last 5 years of iShares MSCI Global Select Metals & Mining Producers Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (57 days)
• During the last 3 years, the average days under water is 75 days, which is greater, thus worse than the value of 73 days from the benchmark.