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 over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is 99.7%, which is greater, thus better compared to the benchmark SPY (78.4%) in the same period.
• Compared with SPY (44.1%) in the period of the last 3 years, the total return of 73.9% is greater, 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 return (CAGR) of 14.8% in the last 5 years of iShares MSCI Global Select Metals & Mining Producers Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (12.3%)
• Compared with SPY (12.9%) in the period of the last 3 years, the annual return (CAGR) of 20.2% is greater, 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.'

• Looking at the volatility of 29.3% 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 (19.9%)
• Compared with SPY (23.1%) in the period of the last 3 years, the 30 days standard deviation of 33.4% is larger, thus worse.

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.'

• Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of 21.1% of iShares MSCI Global Select Metals & Mining Producers Fund is larger, thus worse.
• During the last 3 years, the downside volatility is 24.1%, which is higher, thus worse than the value of 16.9% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 0.42 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 (0.49)
• During the last 3 years, the Sharpe Ratio is 0.53, which is greater, thus better than the value of 0.45 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.67) in the period of the last 5 years, the excess return divided by the downside deviation of 0.58 of iShares MSCI Global Select Metals & Mining Producers Fund is lower, thus worse.
• Looking at excess return divided by the downside deviation in of 0.74 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.62).

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 Ratio of 17 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 (6.16 )
• Looking at Ulcer Index in of 13 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.87 ).

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.'

• The maximum DrawDown over 5 years of iShares MSCI Global Select Metals & Mining Producers Fund is -52.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -46.4 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). 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'

• Looking at the maximum days under water of 726 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)
• Looking at maximum days below previous high in of 205 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (119 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.'

• Compared with the benchmark SPY (35 days) in the period of the last 5 years, the average days below previous high of 244 days of iShares MSCI Global Select Metals & Mining Producers Fund is higher, thus worse.
• During the last 3 years, the average days under water is 73 days, which is higher, thus worse than the value of 27 days from the benchmark.