Description of iShares Global Consumer Discretionary ETF

iShares Global Consumer Discretionary ETF

Statistics of iShares Global Consumer Discretionary ETF (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 52% in the last 5 years of iShares Global Consumer Discretionary ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (66.2%)
  • During the last 3 years, the total return, or performance is 39.9%, which is lower, thus worse than the value of 47.5% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of 8.7% in the last 5 years of iShares Global Consumer Discretionary ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.7%)
  • Looking at annual performance (CAGR) in of 11.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.9%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the historical 30 days volatility of 14.2% of iShares Global Consumer Discretionary ETF is greater, thus worse.
  • Compared with SPY (12.5%) in the period of the last 3 years, the 30 days standard deviation of 13.5% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside risk of 15.9% of iShares Global Consumer Discretionary ETF is higher, thus worse.
  • Looking at downside risk in of 15.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.2%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.44 of iShares Global Consumer Discretionary ETF is lower, thus worse.
  • Looking at Sharpe Ratio in of 0.7 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.91).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:
  • Looking at the excess return divided by the downside deviation of 0.39 in the last 5 years of iShares Global Consumer Discretionary ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.56)
  • Compared with SPY (0.8) in the period of the last 3 years, the downside risk / excess return profile of 0.61 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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of iShares Global Consumer Discretionary ETF is 5.17 , which is greater, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • Compared with SPY (4.01 ) in the period of the last 3 years, the Ulcer Index of 4.78 is higher, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -20.9 days of iShares Global Consumer Discretionary ETF is lower, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -20.9 days is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 368 days of iShares Global Consumer Discretionary ETF is greater, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 146 days, which is larger, thus worse than the value of 139 days from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days under water of 88 days of iShares Global Consumer Discretionary ETF is higher, thus worse.
  • Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 44 days is larger, thus worse.

Performance of iShares Global Consumer Discretionary ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of iShares Global Consumer Discretionary ETF
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Allocations

Returns of iShares Global Consumer Discretionary ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of iShares Global Consumer Discretionary ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.