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

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.'

• Compared with the benchmark SPY (95.4%) in the period of the last 5 years, the total return, or increase in value of 3.7% of iShares S&P Global Timber & Forestry Index Fund is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is 7.3%, which is lower, thus worse than the value of 80.2% 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.'

• Looking at the annual return (CAGR) of 0.7% in the last 5 years of iShares S&P Global Timber & Forestry Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (14.4%)
• During the last 3 years, the annual performance (CAGR) is 2.4%, which is smaller, thus worse than the value of 21.8% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of iShares S&P Global Timber & Forestry Index Fund is 19.6%, which is higher, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Compared with SPY (15.3%) in the period of the last 3 years, the 30 days standard deviation of 17.6% is greater, 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 deviation of 13.7% in the last 5 years of iShares S&P Global Timber & Forestry Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.8%)
• Looking at downside deviation in of 12.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.2%).

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 Sharpe Ratio of -0.09 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 (0.7)
• Compared with SPY (1.27) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.01 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.'

• Looking at the ratio of annual return and downside deviation of -0.13 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 (1.01)
• During the last 3 years, the ratio of annual return and downside deviation is -0.01, which is lower, thus worse than the value of 1.9 from the benchmark.

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 (8.42 ) in the period of the last 5 years, the Downside risk index of 16 of iShares S&P Global Timber & Forestry Index Fund is higher, thus worse.
• Looking at Ulcer Index in of 9.61 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.51 ).

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.'

• Looking at the maximum reduction from previous high of -31.9 days 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 (-24.5 days)
• Looking at maximum reduction from previous high in of -22.4 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 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 S&P Global Timber & Forestry Index Fund is 1176 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 323 days, which is higher, thus worse than the value of 87 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.'

• The average days below previous high over 5 years of iShares S&P Global Timber & Forestry Index Fund is 560 days, which is larger, thus worse compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 112 days, which is larger, thus worse than the value of 21 days from the benchmark.