iShares MSCI Global Gold Miners ETF (RING)

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.'

• The total return over 5 years of iShares MSCI Global Gold Miners ETF is 56.3%, which is smaller, thus worse compared to the benchmark SPY (109.8%) in the same period.
• Looking at total return in of 59.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (42.5%).

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 Gold Miners ETF is 9.4%, which is lower, thus worse compared to the benchmark SPY (16%) in the same period.
• Compared with SPY (12.6%) in the period of the last 3 years, the annual performance (CAGR) of 17% is greater, thus better.

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.'

• Compared with the benchmark SPY (17.9%) in the period of the last 5 years, the volatility of 34.3% of iShares MSCI Global Gold Miners ETF is greater, thus worse.
• Compared with SPY (18.4%) in the period of the last 3 years, the volatility of 34.5% is larger, thus worse.

DownVol:

'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 risk of 23.4% 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 (12.5%)
• Looking at downside risk in of 23.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.6%).

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.'

• Looking at the Sharpe Ratio of 0.2 in the last 5 years of iShares MSCI Global Gold Miners ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.75)
• Compared with SPY (0.55) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.42 is lower, thus worse.

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 (1.08) in the period of the last 5 years, the excess return divided by the downside deviation of 0.29 of iShares MSCI Global Gold Miners ETF is smaller, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.62, which is smaller, thus worse than the value of 0.8 from the benchmark.

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 Index of 26 in the last 5 years of iShares MSCI Global Gold Miners ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.48 )
• During the last 3 years, the Ulcer Index is 16 , which is higher, thus worse than the value of 5.54 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.'

• Looking at the maximum drop from peak to valley of -52 days in the last 5 years of iShares MSCI Global Gold Miners ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum reduction from previous high in of -38 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 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) in days.'

• The maximum days below previous high over 5 years of iShares MSCI Global Gold Miners ETF is 1039 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 249 days, which is larger, thus worse than the value of 199 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.'

• Looking at the average days under water of 445 days 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 (119 days)
• During the last 3 years, the average time in days below previous high water mark is 90 days, which is larger, thus worse than the value of 44 days from the benchmark.