iShares MSCI Agriculture Producers Fund (VEGI)

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.'

• The total return over 5 years of iShares MSCI Agriculture Producers Fund is 38.9%, which is lower, thus worse compared to the benchmark SPY (67.9%) in the same period.
• During the last 3 years, the total return is 58.7%, which is greater, thus better than the value of 44.5% from the benchmark.

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 (10.9%) in the period of the last 5 years, the annual return (CAGR) of 6.8% of iShares MSCI Agriculture Producers Fund is smaller, thus worse.
• Compared with SPY (13.1%) in the period of the last 3 years, the annual return (CAGR) of 16.6% is greater, thus better.

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.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the 30 days standard deviation of 22.6% of iShares MSCI Agriculture Producers Fund is larger, thus worse.
• Looking at historical 30 days volatility in of 20.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.7%).

DownVol:

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

• The downside volatility over 5 years of iShares MSCI Agriculture Producers Fund is 16.6%, which is greater, thus worse compared to the benchmark SPY (15.4%) in the same period.
• Looking at downside volatility in of 14.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.3%).

Sharpe:

'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.'

• Compared with the benchmark SPY (0.39) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.19 of iShares MSCI Agriculture Producers Fund is smaller, thus worse.
• Compared with SPY (0.56) in the period of the last 3 years, the Sharpe Ratio of 0.7 is higher, thus better.

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.'

• Looking at the downside risk / excess return profile of 0.26 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 (0.55)
• Looking at excess return divided by the downside deviation in of 0.98 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.79).

Ulcer:

'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.'

• Looking at the Ulcer Ratio of 10 in the last 5 years of iShares MSCI Agriculture Producers Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.47 )
• Looking at Ulcer Ratio in of 10 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

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 reduction from previous high of -36.1 days of iShares MSCI Agriculture Producers Fund is lower, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -25.1 days is smaller, 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). 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 476 days, which is larger, thus worse compared to the benchmark SPY (354 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 280 days, which is smaller, thus better than the value of 354 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.'

• Compared with the benchmark SPY (79 days) in the period of the last 5 years, the average days below previous high of 146 days of iShares MSCI Agriculture Producers Fund is larger, thus worse.
• During the last 3 years, the average days under water is 83 days, which is lower, thus better than the value of 102 days from the benchmark.