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.'

• The total return over 5 years of iShares MSCI Poland ETF is 143%, which is higher, thus better compared to the benchmark SPY (93.2%) in the same period.
• Compared with SPY (80.1%) in the period of the last 3 years, the total return, or increase in value of 176.5% is higher, thus better.

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 compounded annual growth rate (CAGR) over 5 years of iShares MSCI Poland ETF is 19.5%, which is larger, thus better compared to the benchmark SPY (14.1%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 40.6%, which is greater, thus better than the value of 21.8% 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 volatility over 5 years of iShares MSCI Poland ETF is 28.8%, which is larger, thus worse compared to the benchmark SPY (17%) in the same period.
• During the last 3 years, the 30 days standard deviation is 26.2%, which is larger, thus worse than the value of 15.1% from the benchmark.

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.'

• Looking at the downside deviation of 19.4% in the last 5 years of iShares MSCI Poland ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.7%)
• Looking at downside volatility in of 16.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.1%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.59 in the last 5 years of iShares MSCI Poland ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.68)
• Compared with SPY (1.28) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.45 is higher, thus better.

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 0.87, which is smaller, thus worse compared to the benchmark SPY (0.99) in the same period.
• Compared with SPY (1.91) in the period of the last 3 years, the excess return divided by the downside deviation of 2.29 is greater, 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.'

• The Ulcer Ratio over 5 years of iShares MSCI Poland ETF is 19 , which is larger, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• During the last 3 years, the Downside risk index is 6.6 , which is higher, thus worse than the value of 3.4 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum DrawDown over 5 years of iShares MSCI Poland ETF is -54.2 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -21.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days under water 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)
• Looking at maximum days under water in of 181 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 days).

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.'

• Looking at the average days below previous high of 146 days in the last 5 years of iShares MSCI Poland ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average time in days below previous high water mark in of 36 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (19 days).