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.'

• Looking at the total return of 142.8% in the last 5 years of iShares MSCI Poland ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (87%)
• During the last 3 years, the total return is 148.3%, which is greater, thus better than the value of 78.1% 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.'

• Looking at the compounded annual growth rate (CAGR) of 19.5% in the last 5 years of iShares MSCI Poland ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (13.4%)
• Compared with SPY (21.3%) in the period of the last 3 years, the annual return (CAGR) of 35.6% is greater, thus better.

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.'

• Looking at the historical 30 days volatility of 29.1% in the last 5 years of iShares MSCI Poland ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.2%)
• Compared with SPY (15.4%) in the period of the last 3 years, the volatility of 26.1% is greater, thus worse.

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 (11.8%) in the period of the last 5 years, the downside volatility of 19.7% of iShares MSCI Poland ETF is larger, thus worse.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside volatility of 16.8% 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 (0.63) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.58 of iShares MSCI Poland ETF is smaller, thus worse.
• Compared with SPY (1.22) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.27 is larger, thus better.

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 (0.92) in the period of the last 5 years, the downside risk / excess return profile of 0.86 of iShares MSCI Poland ETF is smaller, thus worse.
• Compared with SPY (1.82) in the period of the last 3 years, the downside risk / excess return profile of 1.97 is larger, 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.'

• Looking at the Downside risk index of 19 in the last 5 years of iShares MSCI Poland ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.45 )
• Looking at Ulcer Ratio in of 6.36 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.38 ).

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.'

• 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)
• Looking at maximum reduction from previous high in of -19.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 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.'

• The maximum days under water over 5 years of iShares MSCI Poland ETF is 542 days, which is larger, 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 greater, 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 higher, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average days under water in of 36 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18 days).