iShares Global Infrastructure ETF (IGF)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or increase in value of 68.5% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (82.2%)
• Compared with SPY (78.3%) in the period of the last 3 years, the total return, or performance of 52.9% is lower, thus worse.

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 11% in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.8%)
• Compared with SPY (21.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 15.3% is lower, thus worse.

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 13.9% of iShares Global Infrastructure ETF is lower, thus better.
• Looking at 30 days standard deviation in of 12.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.2%).

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 (11.8%) in the period of the last 5 years, the downside volatility of 9.8% of iShares Global Infrastructure ETF is lower, thus better.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside volatility of 8.8% is lower, thus better.

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 0.61 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.6)
• Compared with SPY (1.24) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.01 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 excess return divided by the downside deviation of 0.87 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.87)
• During the last 3 years, the ratio of annual return and downside deviation is 1.45, which is lower, thus worse than the value of 1.86 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.'

• Looking at the Ulcer Index of 5.76 in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.45 )
• Looking at Downside risk index in of 3.81 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.5 ).

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 drop from peak to valley of -20.8 days in the last 5 years of iShares Global Infrastructure ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -15 days is larger, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days below previous high over 5 years of iShares Global Infrastructure ETF is 513 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 220 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 days).

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 125 days of iShares Global Infrastructure ETF is larger, thus worse.
• Looking at average days under water in of 45 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (20 days).