'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.'

Which means for our asset as example:- The total return over 5 years of iShares Global Consumer Discretionary ETF is 39.9%, which is lower, thus worse compared to the benchmark SPY (88.1%) in the same period.
- During the last 3 years, the total return is -5.7%, which is lower, thus worse than the value of 26.1% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the compounded annual growth rate (CAGR) of 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 (13.5%)
- Compared with SPY (8.1%) in the period of the last 3 years, the annual performance (CAGR) of -2% is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the 30 days standard deviation of 23.4% of iShares Global Consumer Discretionary ETF is larger, thus worse.
- Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 21.9% is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the downside risk of 17% in the last 5 years of iShares Global Consumer Discretionary ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15%)
- During the last 3 years, the downside risk is 15.5%, which is greater, thus worse than the value of 12.1% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.52) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.19 of iShares Global Consumer Discretionary ETF is smaller, thus worse.
- During the last 3 years, the risk / return profile (Sharpe) is -0.2, which is lower, thus worse than the value of 0.32 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.73) in the period of the last 5 years, the excess return divided by the downside deviation of 0.26 of iShares Global Consumer Discretionary ETF is lower, thus worse.
- During the last 3 years, the ratio of annual return and downside deviation is -0.29, which is lower, thus worse than the value of 0.46 from the benchmark.

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:- Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Index of 16 of iShares Global Consumer Discretionary ETF is higher, thus worse.
- Looking at Ulcer Ratio in of 19 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

'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.'

Which means for our asset as example:- Looking at the maximum reduction from previous high of -35.8 days 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 (-33.7 days)
- Looking at maximum drop from peak to valley in of -35.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 612 days of iShares Global Consumer Discretionary ETF is larger, thus worse.
- During the last 3 years, the maximum time in days below previous high water mark is 612 days, which is larger, thus worse than the value of 488 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the average time in days below previous high water mark of 176 days in the last 5 years of iShares Global Consumer Discretionary ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (123 days)
- Compared with SPY (179 days) in the period of the last 3 years, the average time in days below previous high water mark of 259 days is greater, thus worse.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal 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.