iShares MSCI EAFE ETF (EFA)

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.'

• Looking at the total return, or increase in value of 11.5% in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (62.6%)
• During the last 3 years, the total return is 6.5%, which is smaller, thus worse than the value of 32.1% 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.'

• Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual return (CAGR) of 2.2% of iShares MSCI EAFE ETF is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 2.1%, which is lower, thus worse than the value of 9.7% from the benchmark.

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.'

• Looking at the volatility of 19.7% in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.5%)
• Compared with SPY (24.8%) in the period of the last 3 years, the 30 days standard deviation of 23.2% is lower, thus better.

DownVol:

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

• Looking at the downside volatility of 14.6% in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.6%)
• Compared with SPY (17.9%) in the period of the last 3 years, the downside volatility of 17.1% is smaller, thus better.

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 (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.02 of iShares MSCI EAFE ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.29).

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 (0.5) in the period of the last 5 years, the excess return divided by the downside deviation of -0.02 of iShares MSCI EAFE ETF is lower, thus worse.
• Compared with SPY (0.4) in the period of the last 3 years, the excess return divided by the downside deviation of -0.02 is smaller, 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.'

• The Downside risk index over 5 years of iShares MSCI EAFE ETF is 12 , which is higher, thus worse compared to the benchmark SPY (8.52 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 12 is greater, thus worse.

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 reduction from previous high of -34.2 days of iShares MSCI EAFE ETF is lower, thus worse.
• Looking at maximum reduction from previous high in of -33.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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 time in days below previous high water mark of 706 days in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (235 days)
• Looking at maximum days under water in of 317 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (235 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.'

• Compared with the benchmark SPY (55 days) in the period of the last 5 years, the average time in days below previous high water mark of 253 days of iShares MSCI EAFE ETF is higher, thus worse.
• Compared with SPY (59 days) in the period of the last 3 years, the average days below previous high of 105 days is larger, thus worse.