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.'

• Compared with the benchmark SPY (122.2%) in the period of the last 5 years, the total return of 216.8% of iShares MSCI Global Select Metals & Mining Producers Fund is higher, thus better.
• Looking at total return in of 18.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (43.6%).

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.'

• Looking at the annual return (CAGR) of 26.1% 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 (17.3%)
• Looking at compounded annual growth rate (CAGR) in of 5.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (12.8%).

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.'

• The volatility over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is 30.1%, which is higher, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Looking at 30 days standard deviation in of 31.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.9%).

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 21.1% 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 (13.6%)
• Compared with SPY (16.8%) in the period of the last 3 years, the downside risk of 23% is greater, thus worse.

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.'

• The Sharpe Ratio over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is 0.78, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.1, which is lower, thus worse than the value of 0.45 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 downside risk / excess return profile of 1.12 in the last 5 years of iShares MSCI Global Select Metals & Mining Producers Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (1.09)
• During the last 3 years, the ratio of annual return and downside deviation is 0.14, which is lower, thus worse than the value of 0.62 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 (5.59 ) in the period of the last 5 years, the Downside risk index of 16 of iShares MSCI Global Select Metals & Mining Producers Fund is higher, thus worse.
• Looking at Downside risk index in of 20 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (7.15 ).

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.'

• Looking at the maximum drop from peak to valley of -52.7 days 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 (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -52.4 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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 722 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 (139 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 712 days is greater, thus worse.

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 time in days below previous high water mark of 234 days in the last 5 years of iShares MSCI Global Select Metals & Mining Producers Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (33 days)
• During the last 3 years, the average time in days below previous high water mark is 345 days, which is greater, thus worse than the value of 45 days from the benchmark.