iShares MSCI Poland ETF (EPOL)

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.'

• Compared with the benchmark SPY (89.5%) in the period of the last 5 years, the total return, or increase in value of 128.6% of iShares MSCI Poland ETF is larger, thus better.
• Looking at total return, or performance in of 197.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (86.8%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of iShares MSCI Poland ETF is 18.1%, which is larger, thus better compared to the benchmark SPY (13.7%) in the same period.
• Compared with SPY (23.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 44% is higher, thus better.

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 (17.2%) in the period of the last 5 years, the volatility of 29.1% of iShares MSCI Poland ETF is greater, thus worse.
• During the last 3 years, the volatility is 25.9%, which is larger, thus worse than the value of 15.3% 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 volatility over 5 years of iShares MSCI Poland ETF is 19.7%, which is higher, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 16.4% is greater, 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 0.53 in the last 5 years of iShares MSCI Poland ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.65)
• Looking at Sharpe Ratio in of 1.6 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.36).

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.'

• The excess return divided by the downside deviation over 5 years of iShares MSCI Poland ETF is 0.79, which is lower, thus worse compared to the benchmark SPY (0.95) in the same period.
• Compared with SPY (2.04) in the period of the last 3 years, the downside risk / excess return profile of 2.52 is higher, thus better.

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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 19 of iShares MSCI Poland ETF is greater, thus worse.
• Compared with SPY (3.23 ) in the period of the last 3 years, the Ulcer Ratio of 5.56 is greater, 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.'

• Looking at the maximum reduction from previous high of -54.2 days in the last 5 years of iShares MSCI Poland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -17.1 days, which is greater, thus better than the value of -18.8 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) in days.'

• The maximum days under water over 5 years of iShares MSCI Poland ETF is 542 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 181 days, which is larger, thus worse than the value of 87 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 time in days below previous high water mark of 146 days in the last 5 years of iShares MSCI Poland ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average days below previous high is 34 days, which is larger, thus worse than the value of 17 days from the benchmark.