iShares MSCI Indonesia ETF (EIDO)

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.'

• The total return, or performance over 5 years of iShares MSCI Indonesia ETF is 30.4%, which is smaller, thus worse compared to the benchmark SPY (122.1%) in the same period.
• During the last 3 years, the total return is -13.7%, which is lower, thus worse than the value of 43.5% 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 Indonesia ETF is 5.4%, which is smaller, thus worse compared to the benchmark SPY (17.3%) in the same period.
• Looking at annual return (CAGR) in of -4.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (12.8%).

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 historical 30 days volatility of 28.8% in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.8%)
• Looking at volatility in of 33.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.9%).

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.'

• The downside volatility over 5 years of iShares MSCI Indonesia ETF is 20.9%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Looking at downside risk in of 24.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (16.8%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.1 in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.79)
• Compared with SPY (0.45) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.22 is lower, thus worse.

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 (1.09) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.14 of iShares MSCI Indonesia ETF is lower, thus worse.
• Looking at downside risk / excess return profile in of -0.29 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.61).

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.'

• The Ulcer Ratio over 5 years of iShares MSCI Indonesia ETF is 19 , which is greater, thus worse compared to the benchmark SPY (5.59 ) in the same period.
• Compared with SPY (7.15 ) in the period of the last 3 years, the Downside risk index of 24 is greater, 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.'

• The maximum reduction from previous high over 5 years of iShares MSCI Indonesia ETF is -59.4 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -59.4 days, which is lower, thus worse than the value of -33.7 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.'

• Looking at the maximum days below previous high of 749 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 (139 days)
• During the last 3 years, the maximum days below previous high is 749 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.'

• Looking at the average days under water of 254 days in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (33 days)
• Looking at average days under water in of 375 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).