iShares MSCI Israel ETF (EIS)

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 increase in value over 5 years of iShares MSCI Israel ETF is 12.1%, which is smaller, thus worse compared to the benchmark SPY (66%) in the same period.
• During the last 3 years, the total return, or increase in value is 15.7%, which is lower, thus worse than the value of 45.6% 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 compounded annual growth rate (CAGR) over 5 years of iShares MSCI Israel ETF is 2.3%, which is smaller, thus worse compared to the benchmark SPY (10.7%) in the same period.
• Looking at annual return (CAGR) in of 5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.3%).

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 (13.4%) in the period of the last 5 years, the 30 days standard deviation of 14.7% of iShares MSCI Israel ETF is higher, thus worse.
• Compared with SPY (12.3%) in the period of the last 3 years, the 30 days standard deviation of 14.6% is larger, thus worse.

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 (14.6%) in the period of the last 5 years, the downside deviation of 15.2% of iShares MSCI Israel ETF is larger, thus worse.
• Looking at downside volatility in of 15.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.8%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.61) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.01 of iShares MSCI Israel ETF is smaller, thus worse.
• Looking at Sharpe Ratio in of 0.17 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.88).

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.'

• The ratio of annual return and downside deviation over 5 years of iShares MSCI Israel ETF is -0.01, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
• Compared with SPY (0.78) in the period of the last 3 years, the excess return divided by the downside deviation of 0.16 is smaller, thus worse.

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.'

• Looking at the Downside risk index of 9.18 in the last 5 years of iShares MSCI Israel ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.99 )
• During the last 3 years, the Ulcer Index is 6.94 , which is greater, thus worse than the value of 4.04 from the benchmark.

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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -20.9 days of iShares MSCI Israel ETF is lower, thus worse.
• Looking at maximum DrawDown in of -20.1 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 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'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 463 days of iShares MSCI Israel ETF is larger, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 207 days is greater, thus worse.

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 time in days below previous high water mark over 5 years of iShares MSCI Israel ETF is 134 days, which is larger, thus worse compared to the benchmark SPY (41 days) in the same period.
• Looking at average days below previous high in of 68 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).