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.'

• Compared with the benchmark SPY (67.1%) in the period of the last 5 years, the total return, or increase in value of -31.6% of iShares MSCI Poland ETF is lower, thus worse.
• During the last 3 years, the total return is 20.5%, which is lower, thus worse than the value of 61.5% 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 Poland ETF is -7.3%, which is smaller, thus worse compared to the benchmark SPY (10.8%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 6.4%, which is lower, thus worse than the value of 17.3% 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.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the 30 days standard deviation of 30.2% of iShares MSCI Poland ETF is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 31.9%, which is greater, thus worse than the value of 20% 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 (15.4%) in the period of the last 5 years, the downside deviation of 21.8% of iShares MSCI Poland ETF is higher, thus worse.
• During the last 3 years, the downside deviation is 22%, which is greater, thus worse than the value of 13.9% 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 ratio of return and volatility (Sharpe) over 5 years of iShares MSCI Poland ETF is -0.33, which is lower, thus worse compared to the benchmark SPY (0.39) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.74).

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 (0.54) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.45 of iShares MSCI Poland ETF is lower, thus worse.
• Compared with SPY (1.06) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.18 is lower, thus worse.

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.'

• The Ulcer Ratio over 5 years of iShares MSCI Poland ETF is 26 , which is larger, thus worse compared to the benchmark SPY (9.21 ) in the same period.
• Looking at Ulcer Index in of 23 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (9.87 ).

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 DrawDown over 5 years of iShares MSCI Poland ETF is -56.3 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 reduction from previous high is -54.2 days, which is smaller, thus worse than the value of -24.5 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). 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 (311 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1246 days of iShares MSCI Poland ETF is greater, thus worse.
• Compared with SPY (311 days) in the period of the last 3 years, the maximum days below previous high of 365 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.'

• Compared with the benchmark SPY (66 days) in the period of the last 5 years, the average time in days below previous high water mark of 622 days of iShares MSCI Poland ETF is higher, thus worse.
• During the last 3 years, the average days below previous high is 108 days, which is larger, thus worse than the value of 82 days from the benchmark.