iShares MSCI Ireland ETF (EIRL)

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.'

• The total return, or performance over 5 years of iShares MSCI Ireland ETF is 29.9%, which is smaller, thus worse compared to the benchmark SPY (91.8%) in the same period.
• Looking at total return, or performance in of 1.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (30.9%).

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.'

• Looking at the annual performance (CAGR) of 5.4% in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.9%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 0.6%, which is lower, thus worse than the value of 9.5% 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 25.4% in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21%)
• Looking at 30 days standard deviation in of 22.6% in the period of the last 3 years, we see it is relatively larger, 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.'

• The downside risk over 5 years of iShares MSCI Ireland ETF is 18.4%, which is higher, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.3%) in the period of the last 3 years, the downside risk of 15.7% is higher, 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.'

• Looking at the Sharpe Ratio of 0.11 in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.54)
• During the last 3 years, the risk / return profile (Sharpe) is -0.08, which is lower, thus worse than the value of 0.4 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the ratio of annual return and downside deviation of 0.16 in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.76)
• During the last 3 years, the ratio of annual return and downside deviation is -0.12, which is smaller, thus worse than the value of 0.57 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.'

• Looking at the Ulcer Ratio of 16 in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.33 )
• Compared with SPY (8.89 ) in the period of the last 3 years, the Downside risk index of 14 is larger, 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 DrawDown over 5 years of iShares MSCI Ireland ETF is -43.8 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -35.9 days, which is smaller, thus worse than the value of -22.4 days from the benchmark.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• 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 greater, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 337 days, which is lower, thus better than the value of 375 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 below previous high of 167 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 (122 days)
• Compared with SPY (114 days) in the period of the last 3 years, the average days under water of 99 days is lower, thus better.