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.'

• Looking at the total return of 1.5% in the last 5 years of iShares MSCI Pacific Ex-Japan Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (60.7%)
• Compared with SPY (29.5%) in the period of the last 3 years, the total return, or performance of -4.2% 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.'

• The annual performance (CAGR) over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 0.3%, which is smaller, thus worse compared to the benchmark SPY (10%) in the same period.
• Compared with SPY (9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -1.4% is lower, thus worse.

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 30 days standard deviation over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 21.4%, which is higher, thus worse compared to the benchmark SPY (20.8%) in the same period.
• During the last 3 years, the historical 30 days volatility is 25.3%, which is higher, thus worse than the value of 24% from the benchmark.

DownVol:

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

• Looking at the downside risk of 15.9% in the last 5 years of iShares MSCI Pacific Ex-Japan Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.3%)
• During the last 3 years, the downside risk is 18.8%, which is greater, thus worse than the value of 17.6% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is -0.1, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of -0.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.27).

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.'

• The excess return divided by the downside deviation over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is -0.14, which is smaller, thus worse compared to the benchmark SPY (0.49) in the same period.
• During the last 3 years, the downside risk / excess return profile is -0.21, which is lower, thus worse than the value of 0.37 from the benchmark.

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.'

• Compared with the benchmark SPY (7.52 ) in the period of the last 5 years, the Ulcer Index of 10 of iShares MSCI Pacific Ex-Japan Index Fund is greater, thus worse.
• Looking at Downside risk index in of 12 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.81 ).

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 DrawDown of -39.3 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)
• Looking at maximum reduction from previous high in of -39.3 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 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 below previous high over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 355 days, which is greater, thus worse compared to the benchmark SPY (182 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 329 days, which is greater, thus worse than the value of 182 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 128 days in the last 5 years of iShares MSCI Pacific Ex-Japan Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (45 days)
• During the last 3 years, the average days under water is 115 days, which is greater, thus worse than the value of 43 days from the benchmark.