iShares MSCI Ireland ETF (EIRL)

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 (66.6%) in the period of the last 5 years, the total return, or increase in value of 4.8% of iShares MSCI Ireland ETF is smaller, thus worse.
• During the last 3 years, the total return, or performance is -8.5%, which is lower, thus worse than the value of 36.1% from the benchmark.

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.'

• Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 0.9% of iShares MSCI Ireland ETF is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of -2.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.8%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (19%) in the period of the last 5 years, the 30 days standard deviation of 21.9% of iShares MSCI Ireland ETF is higher, thus worse.
• During the last 3 years, the volatility is 23.9%, which is higher, thus worse than the value of 22% 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.'

• Looking at the downside deviation of 16.9% in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.9%)
• Looking at downside risk in of 18.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.2%).

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 risk / return profile (Sharpe) over 5 years of iShares MSCI Ireland ETF is -0.07, which is lower, thus worse compared to the benchmark SPY (0.43) in the same period.
• Compared with SPY (0.38) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.23 is lower, thus worse.

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 -0.09 in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.59)
• Looking at downside risk / excess return profile in of -0.29 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.52).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (5.9 ) in the period of the last 5 years, the Downside risk index of 12 of iShares MSCI Ireland ETF is larger, thus worse.
• Looking at Ulcer Index in of 15 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.98 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum reduction from previous high of -46.5 days in the last 5 years of iShares MSCI Ireland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -46.5 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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.'

• Looking at the maximum days under water of 613 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 (187 days)
• During the last 3 years, the maximum days below previous high is 613 days, which is larger, thus worse than the value of 139 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.'

• The average days below previous high over 5 years of iShares MSCI Ireland ETF is 206 days, which is larger, thus worse compared to the benchmark SPY (44 days) in the same period.
• During the last 3 years, the average days below previous high is 263 days, which is greater, thus worse than the value of 41 days from the benchmark.