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.'

• Compared with the benchmark SPY (60.6%) in the period of the last 5 years, the total return, or increase in value of -1.8% of iShares MSCI Emerging Index Fund is smaller, thus worse.
• Looking at total return in of -8.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (38%).

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.'

• Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual performance (CAGR) of -0.4% of iShares MSCI Emerging Index Fund is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is -2.9%, which is smaller, thus worse than the value of 11.3% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of iShares MSCI Emerging Index Fund is 22.8%, which is larger, thus worse compared to the benchmark SPY (21.5%) in the same period.
• Compared with SPY (17.9%) in the period of the last 3 years, the historical 30 days volatility of 19.4% is larger, thus worse.

DownVol:

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

• Looking at the downside risk of 16.7% 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 (15.5%)
• Looking at downside deviation in of 13.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.5%).

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 (0.35) in the period of the last 5 years, the Sharpe Ratio of -0.13 of iShares MSCI Emerging Index Fund is lower, thus worse.
• Compared with SPY (0.49) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.28 is lower, thus worse.

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 downside risk / excess return profile of -0.17 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 (0.48)
• Looking at excess return divided by the downside deviation in of -0.4 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.71).

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 (9.55 ) in the period of the last 5 years, the Ulcer Index of 18 of iShares MSCI Emerging Index Fund is higher, thus worse.
• During the last 3 years, the Ulcer Index is 22 , which is larger, thus worse than the value of 10 from the benchmark.

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.'

• The maximum DrawDown over 5 years of iShares MSCI Emerging Index Fund is -39.8 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• 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 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.'

• Compared with the benchmark SPY (431 days) in the period of the last 5 years, the maximum days under water of 653 days of iShares MSCI Emerging Index Fund is higher, thus worse.
• During the last 3 years, the maximum days under water is 653 days, which is larger, thus worse than the value of 431 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 (105 days) in the period of the last 5 years, the average days below previous high of 208 days of iShares MSCI Emerging Index Fund is greater, thus worse.
• During the last 3 years, the average days under water is 299 days, which is larger, thus worse than the value of 144 days from the benchmark.