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.'

• Compared with the benchmark SPY (67.9%) in the period of the last 5 years, the total return of 9.6% of iShares MSCI EAFE ETF is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is 22.7%, which is lower, thus worse than the value of 46.6% 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.'

• The annual performance (CAGR) over 5 years of iShares MSCI EAFE ETF is 1.8%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Compared with SPY (13.6%) in the period of the last 3 years, the annual performance (CAGR) of 7.1% is lower, thus worse.

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.'

• Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the volatility of 14.4% of iShares MSCI EAFE ETF is larger, thus worse.
• Looking at volatility in of 13% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.5%).

DownVol:

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

• Looking at the downside deviation of 15.8% in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
• Looking at downside deviation in of 15.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.2%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.64) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.05 of iShares MSCI EAFE ETF is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.35, which is smaller, thus worse than the value of 0.89 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.'

• Compared with the benchmark SPY (0.58) in the period of the last 5 years, the downside risk / excess return profile of -0.04 of iShares MSCI EAFE ETF is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of 0.3 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.78).

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.'

• Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Downside risk index of 9.56 of iShares MSCI EAFE ETF is greater, thus better.
• Looking at Ulcer Ratio in of 7.42 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (4.01 ).

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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -23 days of iShares MSCI EAFE ETF is lower, thus worse.
• Looking at maximum DrawDown in of -22.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 491 days of iShares MSCI EAFE ETF is higher, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 328 days is larger, thus worse.

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 (41 days) in the period of the last 5 years, the average time in days below previous high water mark of 167 days of iShares MSCI EAFE ETF is higher, thus worse.
• Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 89 days is higher, thus worse.