iShares MSCI Poland ETF (EPOL)

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.'

• The total return over 5 years of iShares MSCI Poland ETF is 28.3%, which is lower, thus worse compared to the benchmark SPY (111.3%) in the same period.
• During the last 3 years, the total return, or performance is 10.9%, which is lower, thus worse than the value of 39.3% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 5.1% in the last 5 years of iShares MSCI Poland ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (16.2%)
• During the last 3 years, the annual performance (CAGR) is 3.5%, which is lower, thus worse than the value of 11.7% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of iShares MSCI Poland ETF is 31.3%, which is larger, thus worse compared to the benchmark SPY (20.9%) in the same period.
• Looking at historical 30 days volatility in of 31% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.5%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 risk over 5 years of iShares MSCI Poland ETF is 22.1%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
• Compared with SPY (12.2%) in the period of the last 3 years, the downside volatility of 21.5% is larger, 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.'

• The Sharpe Ratio over 5 years of iShares MSCI Poland ETF is 0.08, which is lower, thus worse compared to the benchmark SPY (0.66) in the same period.
• Compared with SPY (0.53) in the period of the last 3 years, the Sharpe Ratio of 0.03 is smaller, 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 0.12 in the last 5 years of iShares MSCI Poland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.92)
• Compared with SPY (0.75) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.05 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.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Index of 22 of iShares MSCI Poland ETF is greater, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 25 is larger, thus worse.

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.'

• Looking at the maximum drop from peak to valley of -54.2 days in the last 5 years of iShares MSCI Poland ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum reduction from previous high in of -54.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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) in days.'

• Looking at the maximum time in days below previous high water mark of 542 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 (488 days)
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 542 days is higher, thus worse.

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.'

• The average days under water over 5 years of iShares MSCI Poland ETF is 190 days, which is greater, thus worse compared to the benchmark SPY (124 days) in the same period.
• Compared with SPY (179 days) in the period of the last 3 years, the average time in days below previous high water mark of 209 days is higher, thus worse.