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 (66.6%) in the period of the last 5 years, the total return, or increase in value of -18.6% of iShares MSCI Poland ETF is lower, thus worse.
• During the last 3 years, the total return, or increase in value is -26.3%, which is smaller, thus worse than the value of 36.1% from the benchmark.

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.'

• The annual return (CAGR) over 5 years of iShares MSCI Poland ETF is -4%, which is lower, 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 -9.7%, which is lower, thus worse than the value of 10.8% from the benchmark.

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.'

• The volatility over 5 years of iShares MSCI Poland ETF is 25.8%, which is higher, thus worse compared to the benchmark SPY (19%) in the same period.
• Looking at volatility in of 26.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22%).

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 (13.9%) in the period of the last 5 years, the downside risk of 18.9% of iShares MSCI Poland ETF is higher, thus worse.
• Compared with SPY (16.2%) in the period of the last 3 years, the downside volatility of 19.9% is greater, thus worse.

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 (0.43) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.25 of iShares MSCI Poland ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.45 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.38).

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 ratio of annual return and downside deviation of -0.35 in the last 5 years of iShares MSCI Poland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.59)
• Compared with SPY (0.52) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.61 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Index of 22 in the last 5 years of iShares MSCI Poland ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.9 )
• During the last 3 years, the Ulcer Ratio is 25 , which is higher, thus worse than the value of 6.98 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -56.9 days of iShares MSCI Poland ETF is lower, thus worse.
• Looking at maximum DrawDown in of -56.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 613 days of iShares MSCI Poland ETF is greater, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 613 days is larger, 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 below previous high over 5 years of iShares MSCI Poland ETF is 229 days, which is greater, thus worse compared to the benchmark SPY (44 days) in the same period.
• During the last 3 years, the average days under water is 261 days, which is higher, thus worse than the value of 41 days from the benchmark.