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.'

• The total return, or increase in value over 5 years of iShares S&P Global Timber & Forestry Index Fund is 97.7%, which is lower, thus worse compared to the benchmark SPY (154.3%) in the same period.
• Looking at total return, or performance in of -10.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (32.9%).

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.'

• The annual performance (CAGR) over 5 years of iShares S&P Global Timber & Forestry Index Fund is 14.7%, which is smaller, thus worse compared to the benchmark SPY (20.6%) in the same period.
• During the last 3 years, the annual performance (CAGR) is -3.7%, which is smaller, thus worse than the value of 10% from the benchmark.

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.'

• The volatility over 5 years of iShares S&P Global Timber & Forestry Index Fund is 22%, which is larger, thus worse compared to the benchmark SPY (18.4%) in the same period.
• Looking at volatility in of 19.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17%).

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark SPY (12.4%) in the period of the last 5 years, the downside volatility of 14.8% of iShares S&P Global Timber & Forestry Index Fund is higher, thus worse.
• Compared with SPY (12%) in the period of the last 3 years, the downside risk of 13.7% is larger, thus worse.

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.'

• The Sharpe Ratio over 5 years of iShares S&P Global Timber & Forestry Index Fund is 0.55, which is smaller, thus worse compared to the benchmark SPY (0.99) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.32, which is smaller, thus worse than the value of 0.44 from the benchmark.

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 0.82, which is lower, thus worse compared to the benchmark SPY (1.46) in the same period.
• Compared with SPY (0.62) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.45 is smaller, 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.'

• Looking at the Ulcer Ratio of 14 in the last 5 years of iShares S&P Global Timber & Forestry Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.29 )
• During the last 3 years, the Ulcer Index is 16 , which is higher, thus worse than the value of 8.63 from the benchmark.

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 (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -31.9 days of iShares S&P Global Timber & Forestry Index Fund is smaller, thus worse.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -30.3 days is lower, 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 969 days of iShares S&P Global Timber & Forestry Index Fund is higher, thus worse.
• During the last 3 years, the maximum days below previous high is 730 days, which is higher, thus worse than the value of 325 days from the benchmark.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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 time in days below previous high water mark over 5 years of iShares S&P Global Timber & Forestry Index Fund is 400 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average days below previous high in of 356 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (89 days).