iShares MSCI Global Silver Miners Fund (SLVP)

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 (61.9%) in the period of the last 5 years, the total return of 15.3% of iShares MSCI Global Silver Miners Fund is lower, thus worse.
• Compared with SPY (79.4%) in the period of the last 3 years, the total return, or increase in value of 63.9% is lower, thus worse.

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.'

• The annual performance (CAGR) over 5 years of iShares MSCI Global Silver Miners Fund is 2.9%, which is lower, thus worse compared to the benchmark SPY (10.1%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 17.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (21.5%).

Volatility:

'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.'

• Looking at the historical 30 days volatility of 43.4% in the last 5 years of iShares MSCI Global Silver Miners Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.5%)
• Compared with SPY (21.2%) in the period of the last 3 years, the volatility of 46.4% is larger, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside volatility of 30.1% 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 (15.5%)
• During the last 3 years, the downside deviation is 30.7%, which is greater, thus worse than the value of 14.1% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of iShares MSCI Global Silver Miners Fund is 0.01, which is smaller, thus worse compared to the benchmark SPY (0.36) in the same period.
• Compared with SPY (0.9) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.33 is lower, thus worse.

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.'

• Looking at the excess return divided by the downside deviation 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 (0.49)
• During the last 3 years, the excess return divided by the downside deviation is 0.5, which is smaller, thus worse than the value of 1.35 from the benchmark.

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.'

• The Downside risk index over 5 years of iShares MSCI Global Silver Miners Fund is 25 , which is greater, thus worse compared to the benchmark SPY (9.15 ) in the same period.
• Compared with SPY (9.78 ) in the period of the last 3 years, the Downside risk index of 29 is greater, thus worse.

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.'

• Looking at the maximum reduction from previous high of -56.2 days 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 (-33.7 days)
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -56.2 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.'

• Compared with the benchmark SPY (305 days) in the period of the last 5 years, the maximum days below previous high of 555 days of iShares MSCI Global Silver Miners Fund is larger, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 555 days, which is larger, thus worse than the value of 305 days from the benchmark.

AveDuration:

'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.'

• The average time in days below previous high water mark over 5 years of iShares MSCI Global Silver Miners Fund is 183 days, which is greater, thus worse compared to the benchmark SPY (65 days) in the same period.
• Compared with SPY (80 days) in the period of the last 3 years, the average days under water of 223 days is larger, thus worse.