iShares MSCI Israel ETF (EIS)

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 performance of 12.6% in the last 5 years of iShares MSCI Israel ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (88%)
• Looking at total return, or increase in value in of 6.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (39.5%).

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 (13.5%) in the period of the last 5 years, the annual performance (CAGR) of 2.4% of iShares MSCI Israel ETF is lower, thus worse.
• Compared with SPY (11.7%) in the period of the last 3 years, the annual performance (CAGR) of 2% is lower, thus worse.

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 19.9% in the last 5 years of iShares MSCI Israel ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.8%)
• During the last 3 years, the historical 30 days volatility is 23.1%, which is larger, thus worse than the value of 22.3% from the benchmark.

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 (13.7%) in the period of the last 5 years, the downside deviation of 15% of iShares MSCI Israel ETF is higher, thus worse.
• During the last 3 years, the downside deviation is 17.6%, which is greater, thus worse than the value of 16.5% 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 risk / return profile (Sharpe) over 5 years of iShares MSCI Israel ETF is 0, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
• Looking at Sharpe Ratio in of -0.02 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.41).

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.'

• Compared with the benchmark SPY (0.8) in the period of the last 5 years, the excess return divided by the downside deviation of -0.01 of iShares MSCI Israel ETF is lower, thus worse.
• Compared with SPY (0.56) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.03 is lower, thus worse.

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.'

• The Ulcer Index over 5 years of iShares MSCI Israel ETF is 8.85 , which is larger, thus worse compared to the benchmark SPY (5.79 ) in the same period.
• During the last 3 years, the Downside risk index is 9.82 , which is larger, thus worse than the value of 7.08 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -38.2 days in the last 5 years of iShares MSCI Israel ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -38.2 days is lower, 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). 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 (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 299 days of iShares MSCI Israel ETF is higher, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 290 days is higher, 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.'

• Looking at the average time in days below previous high water mark of 99 days in the last 5 years of iShares MSCI Israel ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (37 days)
• Looking at average days under water in of 92 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (45 days).