iShares MSCI Ireland ETF (EIRL)

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.'

• Looking at the total return, or increase in value of 32.5% in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (94.2%)
• During the last 3 years, the total return, or performance is 3.3%, which is lower, thus worse than the value of 34.4% 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.'

• The annual return (CAGR) over 5 years of iShares MSCI Ireland ETF is 5.8%, which is smaller, thus worse compared to the benchmark SPY (14.2%) in the same period.
• Compared with SPY (10.4%) in the period of the last 3 years, the annual performance (CAGR) of 1.1% is lower, thus worse.

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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the volatility of 25.4% of iShares MSCI Ireland ETF is higher, thus worse.
• Looking at 30 days standard deviation in of 22.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.5%).

DownVol:

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

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside volatility of 18.4% of iShares MSCI Ireland ETF is greater, thus worse.
• During the last 3 years, the downside risk is 15.7%, which is higher, thus worse than the value of 12.3% 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 Sharpe Ratio over 5 years of iShares MSCI Ireland ETF is 0.13, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
• Compared with SPY (0.45) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.06 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.'

• Looking at the downside risk / excess return profile of 0.18 in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.78)
• Looking at downside risk / excess return profile in of -0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.64).

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 Ulcer Index of 16 in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.33 )
• Compared with SPY (8.87 ) in the period of the last 3 years, the Ulcer Ratio of 14 is higher, thus worse.

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 reduction from previous high over 5 years of iShares MSCI Ireland ETF is -43.5 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-22.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -35.9 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 days under water of 574 days in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 337 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (375 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 Ireland ETF is 166 days, which is greater, thus worse compared to the benchmark SPY (122 days) in the same period.
• During the last 3 years, the average days under water is 99 days, which is smaller, thus better than the value of 113 days from the benchmark.