iShares MSCI Pacific Ex-Japan Index Fund (EPP)

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 (94.9%) in the period of the last 5 years, the total return of 20.1% of iShares MSCI Pacific Ex-Japan Index Fund is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is 7.9%, which is lower, thus worse than the value of 40.7% 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.'

• Looking at the annual return (CAGR) of 3.7% in the last 5 years of iShares MSCI Pacific Ex-Japan Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.3%)
• Looking at compounded annual growth rate (CAGR) in of 2.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (12.1%).

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%) in the period of the last 5 years, the historical 30 days volatility of 22.6% of iShares MSCI Pacific Ex-Japan Index Fund is larger, thus worse.
• Looking at volatility in of 17.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 16.3%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside deviation of 12.2% is larger, 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.'

• Looking at the Sharpe Ratio of 0.05 in the last 5 years of iShares MSCI Pacific Ex-Japan Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.56)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.01, which is lower, thus worse than the value of 0.56 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.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the excess return divided by the downside deviation of 0.08 of iShares MSCI Pacific Ex-Japan Index Fund is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of 0.01 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.8).

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 Ulcer Ratio of 12 in the last 5 years of iShares MSCI Pacific Ex-Japan Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.33 )
• Looking at Ulcer Index in of 11 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.61 ).

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.'

• Looking at the maximum drop from peak to valley of -37.6 days in the last 5 years of iShares MSCI Pacific Ex-Japan Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -24.2 days, which is smaller, thus worse than the value of -22.1 days from the benchmark.

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.'

• The maximum days under water over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 827 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 599 days, which is higher, thus worse than the value of 325 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 (121 days) in the period of the last 5 years, the average days under water of 302 days of iShares MSCI Pacific Ex-Japan Index Fund is larger, thus worse.
• Looking at average days under water in of 252 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (89 days).