iShares MSCI EAFE ETF (EFA)

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.'

• The total return, or performance over 5 years of iShares MSCI EAFE ETF is 15%, which is smaller, thus worse compared to the benchmark SPY (68.1%) in the same period.
• Compared with SPY (47.1%) in the period of the last 3 years, the total return, or increase in value of 24.1% is smaller, thus worse.

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 annual return (CAGR) of 2.8% in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (11%)
• During the last 3 years, the annual return (CAGR) is 7.5%, which is lower, thus worse than the value of 13.8% 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.'

• The 30 days standard deviation over 5 years of iShares MSCI EAFE ETF is 14.4%, which is larger, thus worse compared to the benchmark SPY (13.2%) in the same period.
• During the last 3 years, the historical 30 days volatility is 13.2%, which is higher, thus worse than the value of 12.4% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 risk over 5 years of iShares MSCI EAFE ETF is 15.7%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Looking at downside deviation in of 15% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of iShares MSCI EAFE ETF is 0.02, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.38, which is smaller, thus worse than the value of 0.91 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of iShares MSCI EAFE ETF is 0.02, which is lower, thus worse compared to the benchmark SPY (0.58) in the same period.
• Compared with SPY (0.8) in the period of the last 3 years, the downside risk / excess return profile of 0.33 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.'

• Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Ulcer Ratio of 9.38 of iShares MSCI EAFE ETF is higher, thus better.
• Looking at Ulcer Ratio in of 7.07 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (4 ).

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 reduction from previous high of -23 days in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
• During the last 3 years, the maximum drop from peak to valley is -22.1 days, which is smaller, thus worse than the value of -19.3 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.'

• The maximum days below previous high over 5 years of iShares MSCI EAFE ETF is 491 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
• During the last 3 years, the maximum days under water is 285 days, which is greater, thus worse than the value of 131 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.'

• Looking at the average time in days below previous high water mark of 158 days in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (39 days)
• Compared with SPY (33 days) in the period of the last 3 years, the average days under water of 71 days is larger, thus worse.