iShares MSCI Chile ETF (ECH)

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.'

• Compared with the benchmark SPY (108.3%) in the period of the last 5 years, the total return, or performance of 62.8% of iShares MSCI Chile ETF is lower, thus worse.
• Compared with SPY (49.1%) in the period of the last 3 years, the total return of 19.1% 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.'

• Looking at the compounded annual growth rate (CAGR) of 10.3% in the last 5 years of iShares MSCI Chile ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.8%)
• Compared with SPY (14.3%) in the period of the last 3 years, the annual performance (CAGR) of 6% 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 (17.9%) in the period of the last 5 years, the historical 30 days volatility of 28.7% of iShares MSCI Chile ETF is higher, thus worse.
• Looking at 30 days standard deviation in of 26.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.1%).

DownVol:

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

• The downside volatility over 5 years of iShares MSCI Chile ETF is 20%, which is greater, thus worse compared to the benchmark SPY (12.4%) in the same period.
• Compared with SPY (12.2%) in the period of the last 3 years, the downside deviation of 18.1% is greater, 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.'

• Compared with the benchmark SPY (0.75) in the period of the last 5 years, the Sharpe Ratio of 0.27 of iShares MSCI Chile ETF is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.14, which is lower, thus worse than the value of 0.65 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.'

• Looking at the ratio of annual return and downside deviation of 0.39 in the last 5 years of iShares MSCI Chile ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.07)
• Looking at downside risk / excess return profile in of 0.2 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.97).

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 Index of 17 in the last 5 years of iShares MSCI Chile ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.49 )
• Compared with SPY (5.55 ) in the period of the last 3 years, the Ulcer Ratio of 13 is greater, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum DrawDown of -37.2 days in the last 5 years of iShares MSCI Chile ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -25.6 days in the period of the last 3 years, we see it is relatively lower, 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) in days.'

• Looking at the maximum days under water of 563 days in the last 5 years of iShares MSCI Chile ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 416 days, which is higher, thus worse than the value of 199 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.'

• Looking at the average days under water of 207 days in the last 5 years of iShares MSCI Chile ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average time in days below previous high water mark in of 142 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (46 days).