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.'

• Compared with the benchmark SPY (81.1%) in the period of the last 5 years, the total return, or performance of -19.9% of iShares MSCI Indonesia ETF is lower, thus worse.
• Compared with SPY (79.6%) in the period of the last 3 years, the total return of -19.6% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (12.7%) in the period of the last 5 years, the annual performance (CAGR) of -4.4% of iShares MSCI Indonesia ETF is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of -7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.6%).

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.'

• Looking at the volatility of 19.5% in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17%)
• Compared with SPY (15.1%) in the period of the last 3 years, the 30 days standard deviation of 20% is greater, 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.'

• The downside volatility over 5 years of iShares MSCI Indonesia ETF is 14.2%, which is greater, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Looking at downside deviation in of 14.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.1%).

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 ratio of return and volatility (Sharpe) of -0.35 in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.6)
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.48, which is smaller, thus worse than the value of 1.27 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.'

• Looking at the excess return divided by the downside deviation of -0.48 in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.87)
• Compared with SPY (1.9) in the period of the last 3 years, the excess return divided by the downside deviation of -0.65 is smaller, thus worse.

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 14 in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.42 )
• Looking at Downside risk index in of 16 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.39 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -38.1 days of iShares MSCI Indonesia ETF is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -38.1 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 599 days of iShares MSCI Indonesia ETF is higher, thus worse.
• Looking at maximum days below previous high in of 366 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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.'

• The average days under water over 5 years of iShares MSCI Indonesia ETF is 211 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (19 days) in the period of the last 3 years, the average days under water of 174 days is greater, thus worse.