iShares MSCI Agriculture Producers Fund (VEGI)

TotalReturn:

'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.'

• Looking at the total return, or performance of 52.9% in the last 5 years of iShares MSCI Agriculture Producers Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (60.7%)
• Compared with SPY (29.5%) in the period of the last 3 years, the total return, or performance of 50.3% is greater, thus better.

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.'

• Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual performance (CAGR) of 8.9% of iShares MSCI Agriculture Producers Fund is smaller, thus worse.
• Looking at annual performance (CAGR) in of 14.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (9%).

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 volatility of 22% in the last 5 years of iShares MSCI Agriculture Producers Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.8%)
• Looking at volatility in of 25.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (24%).

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.'

• Looking at the downside risk of 16.2% in the last 5 years of iShares MSCI Agriculture Producers Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the downside deviation of 18.7% is larger, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.29 in the last 5 years of iShares MSCI Agriculture Producers Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.36)
• Looking at Sharpe Ratio in of 0.47 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.27).

Sortino:

'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.'

• Compared with the benchmark SPY (0.49) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.4 of iShares MSCI Agriculture Producers Fund is lower, thus worse.
• Compared with SPY (0.37) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.64 is larger, thus better.

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.'

• Compared with the benchmark SPY (7.52 ) in the period of the last 5 years, the Downside risk index of 9.53 of iShares MSCI Agriculture Producers Fund is larger, thus worse.
• Compared with SPY (8.81 ) in the period of the last 3 years, the Ulcer Ratio of 9.9 is higher, 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.'

• The maximum drop from peak to valley over 5 years of iShares MSCI Agriculture Producers Fund is -37.4 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high 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 (-33.7 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days under water over 5 years of iShares MSCI Agriculture Producers Fund is 673 days, which is greater, thus worse compared to the benchmark SPY (182 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 172 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (182 days).

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.'

• The average time in days below previous high water mark over 5 years of iShares MSCI Agriculture Producers Fund is 214 days, which is greater, thus worse compared to the benchmark SPY (45 days) in the same period.
• Looking at average days below previous high in of 54 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (43 days).