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 59.9% in the last 5 years of iShares MSCI Agriculture Producers Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (58.9%)
• Compared with SPY (33.9%) in the period of the last 3 years, the total return, or increase in value of 72.7% is higher, thus better.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (9.7%) in the period of the last 5 years, the annual performance (CAGR) of 9.9% of iShares MSCI Agriculture Producers Fund is greater, thus better.
• Compared with SPY (10.2%) in the period of the last 3 years, the annual performance (CAGR) of 20% is larger, thus better.

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.'

• Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the historical 30 days volatility of 22.5% of iShares MSCI Agriculture Producers Fund is higher, thus worse.
• During the last 3 years, the volatility is 26.1%, which is higher, thus worse than the value of 25% from the benchmark.

DownVol:

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

• The downside risk over 5 years of iShares MSCI Agriculture Producers Fund is 16.5%, which is larger, thus worse compared to the benchmark SPY (15.7%) in the same period.
• During the last 3 years, the downside risk is 19%, which is higher, thus worse than the value of 18.1% 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.'

• Compared with the benchmark SPY (0.33) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.33 of iShares MSCI Agriculture Producers Fund is higher, thus better.
• Compared with SPY (0.31) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.67 is larger, thus better.

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 downside risk / excess return profile of 0.45 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 (0.46)
• Looking at ratio of annual return and downside deviation in of 0.92 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.43).

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.'

• The Ulcer Ratio over 5 years of iShares MSCI Agriculture Producers Fund is 9.41 , which is higher, thus worse compared to the benchmark SPY (8.91 ) in the same period.
• Looking at Ulcer Index in of 10 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (11 ).

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.'

• Looking at the maximum DrawDown of -36.1 days 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 (-33.7 days)
• During the last 3 years, the maximum DrawDown is -34.3 days, which is lower, thus worse than the value of -33.7 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). 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 (271 days) in the period of the last 5 years, the maximum days below previous high of 642 days of iShares MSCI Agriculture Producers Fund is higher, thus worse.
• Compared with SPY (271 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 197 days is lower, thus better.

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 (60 days) in the period of the last 5 years, the average days below previous high of 204 days of iShares MSCI Agriculture Producers Fund is greater, thus worse.
• During the last 3 years, the average days below previous high is 64 days, which is lower, thus better than the value of 72 days from the benchmark.