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.'

• Looking at the total return, or increase in value of -18.7% in the last 5 years of iShares MSCI Poland ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (65.8%)
• Compared with SPY (48.8%) in the period of the last 3 years, the total return, or increase in value of 25.6% is lower, thus worse.

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.'

• Compared with the benchmark SPY (10.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -4.1% of iShares MSCI Poland ETF is smaller, thus worse.
• Looking at annual return (CAGR) in of 7.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (14.2%).

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 (13.6%) in the period of the last 5 years, the 30 days standard deviation of 22.2% of iShares MSCI Poland ETF is higher, thus worse.
• Looking at volatility in of 20.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.8%).

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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 23.1% of iShares MSCI Poland ETF is higher, thus worse.
• Compared with SPY (14.6%) in the period of the last 3 years, the downside risk of 21.4% is higher, 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.'

• Compared with the benchmark SPY (0.6) in the period of the last 5 years, the Sharpe Ratio of -0.3 of iShares MSCI Poland ETF is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.27, which is lower, thus worse than the value of 0.91 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of iShares MSCI Poland ETF is -0.28, which is smaller, thus worse compared to the benchmark SPY (0.54) in the same period.
• Compared with SPY (0.8) in the period of the last 3 years, the excess return divided by the downside deviation of 0.25 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.'

• The Ulcer Index over 5 years of iShares MSCI Poland ETF is 24 , which is larger, thus worse compared to the benchmark SPY (4.03 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 16 , which is higher, thus worse than the value of 4.1 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 (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -44 days of iShares MSCI Poland ETF is lower, thus worse.
• During the last 3 years, the maximum reduction from previous high is -32.2 days, which is smaller, thus worse than the value of -19.3 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'

• The maximum time in days below previous high water mark over 5 years of iShares MSCI Poland ETF is 738 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
• During the last 3 years, the maximum days below previous high is 414 days, which is larger, thus worse than the value of 139 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.'

• Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days under water of 290 days of iShares MSCI Poland ETF is higher, thus worse.
• Compared with SPY (35 days) in the period of the last 3 years, the average time in days below previous high water mark of 131 days is larger, thus worse.