iShares MSCI Emerging Index Fund (EEM)

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 (98.9%) in the period of the last 5 years, the total return of 11.1% of iShares MSCI Emerging Index Fund is smaller, thus worse.
• Looking at total return, or increase in value in of -5.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (39.9%).

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.'

• Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 2.1% of iShares MSCI Emerging Index Fund is smaller, thus worse.
• Compared with SPY (11.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -2% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the volatility of 22.3% of iShares MSCI Emerging Index Fund is greater, thus worse.
• Looking at volatility in of 18.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.3%).

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 16.1% in the last 5 years of iShares MSCI Emerging Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15%)
• Looking at downside deviation in of 12.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.1%).

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 -0.02 in the last 5 years of iShares MSCI Emerging Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
• Looking at ratio of return and volatility (Sharpe) in of -0.25 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.54).

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.'

• Compared with the benchmark SPY (0.82) in the period of the last 5 years, the excess return divided by the downside deviation of -0.02 of iShares MSCI Emerging Index Fund is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.36, which is lower, thus worse than the value of 0.78 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 (9.33 ) in the period of the last 5 years, the Ulcer Index of 22 of iShares MSCI Emerging Index Fund is greater, thus worse.
• During the last 3 years, the Downside risk index is 17 , which is greater, thus worse than the value of 8.64 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.'

• Looking at the maximum DrawDown of -39.8 days in the last 5 years of iShares MSCI Emerging Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -31.3 days, which is smaller, thus worse than the value of -22.1 days from the benchmark.

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.'

• Looking at the maximum days under water of 995 days in the last 5 years of iShares MSCI Emerging Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (325 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 663 days is larger, thus worse.

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.'

• Looking at the average days below previous high of 416 days in the last 5 years of iShares MSCI Emerging Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (122 days)
• During the last 3 years, the average time in days below previous high water mark is 299 days, which is greater, thus worse than the value of 89 days from the benchmark.