'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (66%) in the period of the last 5 years, the total return, or performance of 55.1% of iShares Global Consumer Discretionary ETF is smaller, thus worse.
- Looking at total return, or performance in of 43.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (45.6%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the annual return (CAGR) of 9.2% of iShares Global Consumer Discretionary ETF is lower, thus worse.
- Looking at compounded annual growth rate (CAGR) in of 12.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.3%).

'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.'

Applying this definition to our asset in some examples:- The 30 days standard deviation over 5 years of iShares Global Consumer Discretionary ETF is 14.3%, which is higher, thus worse compared to the benchmark SPY (13.4%) in the same period.
- Looking at volatility in of 12.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

'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:- The downside risk over 5 years of iShares Global Consumer Discretionary ETF is 16%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
- Compared with SPY (13.8%) in the period of the last 3 years, the downside deviation of 14.4% is larger, thus worse.

'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.'

Applying this definition to our asset in some examples:- The risk / return profile (Sharpe) over 5 years of iShares Global Consumer Discretionary ETF is 0.47, which is lower, thus worse compared to the benchmark SPY (0.61) in the same period.
- Looking at risk / return profile (Sharpe) in of 0.8 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.88).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.56) in the period of the last 5 years, the excess return divided by the downside deviation of 0.42 of iShares Global Consumer Discretionary ETF is lower, thus worse.
- Looking at downside risk / excess return profile in of 0.72 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.78).

'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.'

Applying this definition to our asset in some examples:- The Ulcer Index over 5 years of iShares Global Consumer Discretionary ETF is 5.16 , which is higher, thus worse compared to the benchmark SPY (3.99 ) in the same period.
- During the last 3 years, the Downside risk index is 4.81 , which is higher, thus worse than the value of 4.04 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum drop from peak to valley of -20.9 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 (-19.3 days)
- 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.

'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.'

Which means for our asset as example:- The maximum days below previous high over 5 years of iShares Global Consumer Discretionary ETF is 368 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
- 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.

'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.'

Applying this definition to our asset in some examples:- Looking at the average days under water of 85 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 (41 days)
- Looking at average days below previous high in of 45 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 days).

Historical returns have been extended using synthetic data.
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- "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.