iShares MSCI Agriculture Producers Fund (VEGI)

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.'

• Looking at the total return of 46.4% 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 (94.9%)
• Looking at total return, or increase in value in of -8.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (40.7%).

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 7.9% 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 (14.3%)
• Looking at annual return (CAGR) in of -2.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (12.1%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the volatility of 22.4% 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 (21%)
• Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 18.5% is higher, 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 16.3% in the last 5 years of iShares MSCI Agriculture Producers Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15%)
• Looking at downside deviation in of 13.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.1%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.24 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 (0.56)
• Compared with SPY (0.56) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.29 is lower, thus worse.

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 (0.79) in the period of the last 5 years, the downside risk / excess return profile of 0.34 of iShares MSCI Agriculture Producers Fund is lower, thus worse.
• Looking at excess return divided by the downside deviation in of -0.4 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.8).

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 Ulcer Ratio over 5 years of iShares MSCI Agriculture Producers Fund is 16 , which is greater, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (8.61 ) in the period of the last 3 years, the Ulcer Ratio of 19 is larger, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -34.3 days of iShares MSCI Agriculture Producers Fund is lower, thus worse.
• Looking at maximum DrawDown in of -28.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-22.1 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 704 days of iShares MSCI Agriculture Producers Fund is higher, thus worse.
• During the last 3 years, the maximum days below previous high is 704 days, which is greater, thus worse than the value of 325 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 (121 days) in the period of the last 5 years, the average days under water of 230 days of iShares MSCI Agriculture Producers Fund is higher, thus worse.
• Compared with SPY (89 days) in the period of the last 3 years, the average days under water of 339 days is greater, thus worse.