iShares MSCI Emerging Index Fund (EEM)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of 41.5% 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 (110.8%)
• During the last 3 years, the total return is 20.1%, which is smaller, thus worse than the value of 52.4% from the benchmark.

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 7.2% 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 (16.1%)
• Compared with SPY (15.2%) in the period of the last 3 years, the annual performance (CAGR) of 6.3% 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 (17.9%) in the period of the last 5 years, the 30 days standard deviation of 19% of iShares MSCI Emerging Index Fund is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 18%, which is smaller, thus better than the value of 18.2% from the benchmark.

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.'

• The downside volatility over 5 years of iShares MSCI Emerging Index Fund is 13%, which is larger, thus worse compared to the benchmark SPY (12.4%) in the same period.
• During the last 3 years, the downside risk is 12.3%, which is larger, thus worse than the value of 12.2% from the benchmark.

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 (0.76) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.25 of iShares MSCI Emerging Index Fund is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.21 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.7).

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.'

• Looking at the excess return divided by the downside deviation of 0.36 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 (1.1)
• Compared with SPY (1.04) in the period of the last 3 years, the excess return divided by the downside deviation of 0.31 is lower, thus worse.

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 21 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 (8.49 )
• During the last 3 years, the Downside risk index is 7.58 , which is higher, thus worse than the value of 5.54 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 lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -20.6 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days below previous high of 1072 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 (488 days)
• Looking at maximum days under water in of 299 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 days).

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 481 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 (119 days)
• During the last 3 years, the average time in days below previous high water mark is 99 days, which is larger, thus worse than the value of 45 days from the benchmark.