iShares MSCI Indonesia ETF (EIDO)

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.'

• The total return, or performance over 5 years of iShares MSCI Indonesia ETF is -9.9%, which is smaller, thus worse compared to the benchmark SPY (77.4%) in the same period.
• During the last 3 years, the total return is -25.7%, which is lower, thus worse than the value of 43.3% 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.'

• Looking at the annual performance (CAGR) of -2.1% in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.1%)
• During the last 3 years, the annual return (CAGR) is -9.4%, which is lower, thus worse than the value of 12.7% 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.'

• Compared with the benchmark SPY (19%) in the period of the last 5 years, the 30 days standard deviation of 29.9% of iShares MSCI Indonesia ETF is larger, thus worse.
• Compared with SPY (22%) in the period of the last 3 years, the volatility of 32% is higher, thus worse.

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 21.7% in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.9%)
• Looking at downside deviation in of 23.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.2%).

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.'

• Looking at the risk / return profile (Sharpe) of -0.15 in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.51)
• Looking at risk / return profile (Sharpe) in of -0.37 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.46).

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 (0.7) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.21 of iShares MSCI Indonesia ETF is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.5, which is lower, thus worse than the value of 0.63 from the benchmark.

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.'

• Looking at the Ulcer Index of 17 in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.87 )
• Compared with SPY (7.01 ) in the period of the last 3 years, the Ulcer Index of 21 is larger, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum drop from peak to valley of -59.4 days in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -59.4 days is lower, thus worse.

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'

• Looking at the maximum days below previous high of 637 days in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• Looking at maximum days below previous high in of 637 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

AveDuration:

'The Average 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. 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 195 days in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (37 days)
• Looking at average days under water in of 281 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (45 days).