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.'

• Compared with the benchmark SPY (83.4%) in the period of the last 5 years, the total return of -18.6% of iShares MSCI Indonesia ETF is lower, thus worse.
• During the last 3 years, the total return is -27.7%, which is lower, thus worse than the value of 79.8% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of -4% in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.9%)
• Looking at annual performance (CAGR) in of -10.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.7%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 19.6% of iShares MSCI Indonesia ETF is higher, thus worse.
• During the last 3 years, the volatility is 20.6%, which is larger, thus worse than the value of 15.2% 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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 14.2% of iShares MSCI Indonesia ETF is larger, thus worse.
• During the last 3 years, the downside volatility is 15.1%, which is higher, thus worse than the value of 10.1% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI Indonesia ETF is -0.33, which is lower, thus worse compared to the benchmark SPY (0.61) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.62 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.26).

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 (0.89) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.46 of iShares MSCI Indonesia ETF is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.85, which is lower, thus worse than the value of 1.89 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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 14 of iShares MSCI Indonesia ETF is higher, thus worse.
• During the last 3 years, the Ulcer Index is 17 , which is larger, thus worse than the value of 3.5 from the benchmark.

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.'

• The maximum DrawDown over 5 years of iShares MSCI Indonesia ETF is -38.1 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -38.1 days is smaller, 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.'

• Looking at the maximum time in days below previous high water mark of 599 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 (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 396 days is larger, thus worse.

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.'

• The average time in days below previous high water mark over 5 years of iShares MSCI Indonesia ETF is 216 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average days below previous high in of 187 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (20 days).