iShares MSCI Indonesia ETF (EIDO)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (74.2%) in the period of the last 5 years, the total return, or increase in value of -6.8% of iShares MSCI Indonesia ETF is lower, thus worse.
• Compared with SPY (50.1%) in the period of the last 3 years, the total return of 2.7% is lower, thus worse.

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 compounded annual growth rate (CAGR) over 5 years of iShares MSCI Indonesia ETF is -1.4%, which is lower, thus worse compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the annual return (CAGR) is 0.9%, which is lower, thus worse than the value of 14.5% from the benchmark.

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 volatility of 23.3% in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.3%)
• During the last 3 years, the volatility is 20.4%, which is higher, thus worse than the value of 13% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside risk of 16.7% in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.6%)
• Compared with SPY (9.4%) in the period of the last 3 years, the downside risk of 14.7% is larger, thus worse.

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 risk / return profile (Sharpe) over 5 years of iShares MSCI Indonesia ETF is -0.17, which is smaller, thus worse compared to the benchmark SPY (0.69) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is -0.08, which is lower, thus worse than the value of 0.93 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 ratio of annual return and downside deviation of -0.23 in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.96)
• Looking at excess return divided by the downside deviation in of -0.11 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.27).

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 Index over 5 years of iShares MSCI Indonesia ETF is 15 , which is greater, thus worse compared to the benchmark SPY (3.97 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 14 , which is greater, thus worse than the value of 4.1 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.'

• Looking at the maximum reduction from previous high of -40 days in the last 5 years of iShares MSCI Indonesia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
• Looking at maximum drop from peak to valley in of -30.4 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 days).

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.'

• The maximum days under water over 5 years of iShares MSCI Indonesia ETF is 532 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
• During the last 3 years, the maximum days under water is 520 days, which is higher, thus worse than the value of 139 days from the benchmark.

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 days below previous high of 232 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 (42 days)
• During the last 3 years, the average days under water is 201 days, which is greater, thus worse than the value of 37 days from the benchmark.