iShares MSCI Global Gold Miners ETF (RING)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of iShares MSCI Global Gold Miners ETF is 77.6%, which is lower, thus worse compared to the benchmark SPY (80.4%) in the same period.
• Compared with SPY (30.7%) in the period of the last 3 years, the total return of -7.7% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of iShares MSCI Global Gold Miners ETF is 12.2%, which is smaller, thus worse compared to the benchmark SPY (12.6%) in the same period.
• Compared with SPY (9.4%) in the period of the last 3 years, the annual performance (CAGR) of -2.6% is smaller, 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.'

• Compared with the benchmark SPY (21.3%) in the period of the last 5 years, the 30 days standard deviation of 37.2% of iShares MSCI Global Gold Miners ETF is greater, thus worse.
• Compared with SPY (17.6%) in the period of the last 3 years, the 30 days standard deviation of 33.2% is greater, thus worse.

DownVol:

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

• Looking at the downside risk of 25.1% in the last 5 years of iShares MSCI Global Gold Miners ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.3%)
• Looking at downside risk in of 22.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.3%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.47) in the period of the last 5 years, the Sharpe Ratio of 0.26 of iShares MSCI Global Gold Miners ETF is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.16, which is smaller, thus worse than the value of 0.39 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.'

• Compared with the benchmark SPY (0.66) in the period of the last 5 years, the excess return divided by the downside deviation of 0.39 of iShares MSCI Global Gold Miners ETF is lower, thus worse.
• Looking at excess return divided by the downside deviation in of -0.23 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

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.'

• The Ulcer Ratio over 5 years of iShares MSCI Global Gold Miners ETF is 25 , which is larger, thus worse compared to the benchmark SPY (9.43 ) in the same period.
• Looking at Ulcer Index in of 25 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

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 reduction from previous high over 5 years of iShares MSCI Global Gold Miners ETF is -52 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 drop from peak to valley is -47.9 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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 time in days below previous high water mark over 5 years of iShares MSCI Global Gold Miners ETF is 835 days, which is greater, thus worse compared to the benchmark SPY (479 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 407 days, which is lower, thus better than the value of 479 days from the benchmark.

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 time in days below previous high water mark over 5 years of iShares MSCI Global Gold Miners ETF is 300 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average days below previous high in of 152 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (173 days).