iShares MSCI New Zealand ETF (ENZL)

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 6.4% in the last 5 years of iShares MSCI New Zealand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (102%)
• During the last 3 years, the total return is -16.3%, which is lower, thus worse than the value of 31.5% 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 New Zealand ETF is 1.3%, which is smaller, thus worse compared to the benchmark SPY (15.1%) in the same period.
• Compared with SPY (9.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -5.8% is smaller, thus worse.

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 (20.9%) in the period of the last 5 years, the volatility of 24.4% of iShares MSCI New Zealand ETF is greater, thus worse.
• During the last 3 years, the volatility is 19.5%, which is higher, thus worse than the value of 17.6% 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.'

• The downside deviation over 5 years of iShares MSCI New Zealand ETF is 17.4%, which is greater, thus worse compared to the benchmark SPY (14.9%) in the same period.
• Looking at downside deviation in of 13.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.4%).

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 (0.6) in the period of the last 5 years, the Sharpe Ratio of -0.05 of iShares MSCI New Zealand ETF is smaller, thus worse.
• During the last 3 years, the Sharpe Ratio is -0.42, which is smaller, thus worse than the value of 0.4 from the benchmark.

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 -0.07 in the last 5 years of iShares MSCI New Zealand ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.84)
• Looking at excess return divided by the downside deviation in of -0.59 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.57).

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 24 in the last 5 years of iShares MSCI New Zealand ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.32 )
• Looking at Ulcer Ratio in of 22 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

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 New Zealand ETF is -42.4 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -36.6 days, which is lower, thus worse than the value of -24.5 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.'

• The maximum days under water over 5 years of iShares MSCI New Zealand ETF is 926 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 728 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (488 days).

AveDuration:

'The Average 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. 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 364 days in the last 5 years of iShares MSCI New Zealand ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (123 days)
• Compared with SPY (177 days) in the period of the last 3 years, the average time in days below previous high water mark of 353 days is greater, thus worse.