iShares MSCI Emerging Index Fund (EEM)

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.'

• Looking at the total return, or performance of -6.4% 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 (68.1%)
• During the last 3 years, the total return is 11.1%, which is lower, thus worse than the value of 47% from the benchmark.

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 performance (CAGR) of -1.3% 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 (11%)
• Compared with SPY (13.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 3.6% 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.'

• The volatility over 5 years of iShares MSCI Emerging Index Fund is 22.9%, which is higher, thus worse compared to the benchmark SPY (21.4%) in the same period.
• Looking at historical 30 days volatility in of 20.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.7%).

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.'

• Looking at the downside deviation of 16.8% in the last 5 years of iShares MSCI Emerging Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.4%)
• Compared with SPY (13.3%) in the period of the last 3 years, the downside volatility of 13.8% is higher, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.4) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.17 of iShares MSCI Emerging Index Fund is smaller, thus worse.
• Compared with SPY (0.6) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.05 is smaller, thus worse.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The excess return divided by the downside deviation over 5 years of iShares MSCI Emerging Index Fund is -0.23, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.08, which is lower, thus worse than the value of 0.84 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Ratio of 17 in the last 5 years of iShares MSCI Emerging Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.45 )
• During the last 3 years, the Downside risk index is 20 , which is higher, thus worse than the value of 10 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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -39.8 days of iShares MSCI Emerging Index Fund is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -39.8 days, which is lower, thus worse than the value of -24.5 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 573 days in the last 5 years of iShares MSCI Emerging Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (351 days)
• During the last 3 years, the maximum time in days below previous high water mark is 573 days, which is greater, thus worse than the value of 351 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.'

• Compared with the benchmark SPY (78 days) in the period of the last 5 years, the average time in days below previous high water mark of 213 days of iShares MSCI Emerging Index Fund is higher, thus worse.
• Compared with SPY (101 days) in the period of the last 3 years, the average time in days below previous high water mark of 236 days is higher, thus worse.