iShares MSCI EAFE ETF (EFA)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (88%) in the period of the last 5 years, the total return, or increase in value of 27.8% of iShares MSCI EAFE ETF is lower, thus worse.
• Compared with SPY (39.5%) in the period of the last 3 years, the total return, or increase in value of 0.7% is smaller, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of iShares MSCI EAFE ETF is 5%, which is lower, thus worse compared to the benchmark SPY (13.5%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 0.2%, which is lower, thus worse than the value of 11.7% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the 30 days standard deviation of 18.3% in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.8%)
• During the last 3 years, the 30 days standard deviation is 20.2%, which is lower, thus better than the value of 22.3% 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.'

• Looking at the downside risk of 13.9% in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.7%)
• Compared with SPY (16.5%) in the period of the last 3 years, the downside risk of 15.5% is lower, 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.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI EAFE ETF is 0.14, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.11, which is smaller, thus worse than the value of 0.41 from the benchmark.

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 (0.8) in the period of the last 5 years, the downside risk / excess return profile of 0.18 of iShares MSCI EAFE ETF is lower, thus worse.
• Looking at downside risk / excess return profile in of -0.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Downside risk index of 9.12 in the last 5 years of iShares MSCI EAFE ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (5.79 )
• Looking at Downside risk index in of 11 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (7.08 ).

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 -34.2 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 (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -34.2 days, which is lower, thus worse than the value of -33.7 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.'

• The maximum days under water over 5 years of iShares MSCI EAFE ETF is 671 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• During the last 3 years, the maximum days under water is 671 days, which is larger, thus worse than the value of 139 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 (37 days) in the period of the last 5 years, the average days below previous high of 235 days of iShares MSCI EAFE ETF is larger, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 310 days, which is greater, thus worse than the value of 45 days from the benchmark.