iShares S&P Global Timber & Forestry Index Fund (WOOD)

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, or increase in value of 25.6% in the last 5 years of iShares S&P Global Timber & Forestry Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (111.4%)
• Compared with SPY (66.9%) in the period of the last 3 years, the total return, or performance of 2.2% 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.'

• Compared with the benchmark SPY (16.2%) in the period of the last 5 years, the annual performance (CAGR) of 4.7% of iShares S&P Global Timber & Forestry Index Fund is smaller, thus worse.
• Compared with SPY (18.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 0.7% is lower, thus worse.

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 (17.3%) in the period of the last 5 years, the historical 30 days volatility of 19.9% of iShares S&P Global Timber & Forestry Index Fund is higher, thus worse.
• Compared with SPY (16.9%) in the period of the last 3 years, the historical 30 days volatility of 19% is higher, thus worse.

DownVol:

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

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the downside volatility of 13.8% of iShares S&P Global Timber & Forestry Index Fund is greater, thus worse.
• Looking at downside volatility in of 13.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (11.2%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.11 in the last 5 years of iShares S&P Global Timber & Forestry Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.79)
• Looking at ratio of return and volatility (Sharpe) in of -0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.96).

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.'

• The excess return divided by the downside deviation over 5 years of iShares S&P Global Timber & Forestry Index Fund is 0.16, which is lower, thus worse compared to the benchmark SPY (1.15) in the same period.
• Compared with SPY (1.44) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.14 is lower, thus worse.

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.'

• Compared with the benchmark SPY (8.43 ) in the period of the last 5 years, the Downside risk index of 15 of iShares S&P Global Timber & Forestry Index Fund is greater, thus worse.
• Compared with SPY (4.21 ) in the period of the last 3 years, the Downside risk index of 8.41 is greater, 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.'

• The maximum drop from peak to valley over 5 years of iShares S&P Global Timber & Forestry Index Fund is -31.9 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -22.4 days, which is lower, thus worse than the value of -18.8 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'

• The maximum time in days below previous high water mark over 5 years of iShares S&P Global Timber & Forestry Index Fund is 1091 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 238 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (97 days).

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 days below previous high over 5 years of iShares S&P Global Timber & Forestry Index Fund is 493 days, which is larger, thus worse compared to the benchmark SPY (120 days) in the same period.
• Compared with SPY (27 days) in the period of the last 3 years, the average days under water of 84 days is higher, thus worse.