iShares MSCI Global Silver Miners Fund (SLVP)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (101.9%) in the period of the last 5 years, the total return, or increase in value of 15% of iShares MSCI Global Silver Miners Fund is lower, thus worse.
• Compared with SPY (33.5%) in the period of the last 3 years, the total return, or increase in value of -6.9% is smaller, thus worse.

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.'

• Looking at the annual return (CAGR) of 2.8% in the last 5 years of iShares MSCI Global Silver Miners Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.1%)
• Looking at annual return (CAGR) in of -2.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.1%).

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.'

• The volatility over 5 years of iShares MSCI Global Silver Miners Fund is 45.6%, which is higher, thus worse compared to the benchmark SPY (21%) in the same period.
• Looking at historical 30 days volatility in of 39.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.5%).

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 deviation of 31.4% in the last 5 years of iShares MSCI Global Silver Miners Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside volatility is 27.2%, which is greater, thus worse than the value of 12.3% from the benchmark.

Sharpe:

'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.'

• Looking at the Sharpe Ratio of 0.01 in the last 5 years of iShares MSCI Global Silver Miners Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.6)
• Looking at risk / return profile (Sharpe) in of -0.12 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.44).

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.'

• Compared with the benchmark SPY (0.84) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.01 of iShares MSCI Global Silver Miners Fund is lower, thus worse.
• Looking at downside risk / excess return profile in of -0.18 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.62).

Ulcer:

'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.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Ratio of 33 of iShares MSCI Global Silver Miners Fund is higher, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 30 is greater, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -56.2 days of iShares MSCI Global Silver Miners Fund is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -47.7 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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.'

• Looking at the maximum days under water of 998 days in the last 5 years of iShares MSCI Global Silver Miners Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 631 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.'

• Compared with the benchmark SPY (122 days) in the period of the last 5 years, the average days under water of 411 days of iShares MSCI Global Silver Miners Fund is greater, thus worse.
• Looking at average days under water in of 271 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (177 days).