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.'

• Compared with the benchmark SPY (87.4%) in the period of the last 5 years, the total return of 73.6% of iShares MSCI Global Gold Miners ETF is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is -6.2%, which is smaller, thus worse than the value of 26.8% from the benchmark.

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.'

• Compared with the benchmark SPY (13.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 11.7% of iShares MSCI Global Gold Miners ETF is smaller, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is -2.1%, which is lower, thus worse than the value of 8.2% from the benchmark.

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 30 days standard deviation of 37.6% 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 (20.9%)
• During the last 3 years, the 30 days standard deviation is 32.9%, which is larger, thus worse than the value of 17.3% from the benchmark.

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 (15%) in the period of the last 5 years, the downside risk of 25.4% of iShares MSCI Global Gold Miners ETF is greater, thus worse.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 22.3% is larger, thus worse.

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 ratio of return and volatility (Sharpe) of 0.24 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 (0.52)
• During the last 3 years, the risk / return profile (Sharpe) is -0.14, which is lower, thus worse than the value of 0.33 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.'

• The ratio of annual return and downside deviation over 5 years of iShares MSCI Global Gold Miners ETF is 0.36, which is lower, thus worse compared to the benchmark SPY (0.73) in the same period.
• Compared with SPY (0.47) in the period of the last 3 years, the excess return divided by the downside deviation of -0.21 is lower, thus worse.

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.'

• Looking at the Ulcer Index of 26 in the last 5 years of iShares MSCI Global Gold Miners ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.33 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 26 is greater, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -52 days of iShares MSCI Global Gold Miners ETF is smaller, thus worse.
• Looking at maximum DrawDown in of -47.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

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 days under water over 5 years of iShares MSCI Global Gold Miners ETF is 935 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 507 days is larger, 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 days below previous high of 369 days in the last 5 years of iShares MSCI Global Gold Miners ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (122 days)
• Looking at average days below previous high in of 208 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (179 days).