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 (129.1%) in the period of the last 5 years, the total return, or increase in value of 47.3% of iShares MSCI Pacific Ex-Japan Index Fund is lower, thus worse.
• Compared with SPY (71.3%) in the period of the last 3 years, the total return, or performance of 33.5% is smaller, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The compounded annual growth rate (CAGR) over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 8.1%, which is lower, thus worse compared to the benchmark SPY (18.1%) in the same period.
• Compared with SPY (19.7%) in the period of the last 3 years, the annual return (CAGR) of 10.1% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the volatility of 20.3% 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 (18.7%)
• During the last 3 years, the volatility is 24.4%, which is larger, thus worse than the value of 22.5% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside deviation of 14.9% of iShares MSCI Pacific Ex-Japan Index Fund is larger, thus worse.
• During the last 3 years, the downside deviation is 18%, which is greater, thus worse than the value of 16.3% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 0.27, which is lower, thus worse compared to the benchmark SPY (0.83) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.31, which is lower, thus worse than the value of 0.76 from the benchmark.

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 (1.15) in the period of the last 5 years, the excess return divided by the downside deviation of 0.37 of iShares MSCI Pacific Ex-Japan Index Fund is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.42, which is lower, thus worse than the value of 1.05 from the benchmark.

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 Pacific Ex-Japan Index Fund is 8.72 , which is larger, thus worse compared to the benchmark SPY (5.59 ) in the same period.
• During the last 3 years, the Downside risk index is 9.72 , which is larger, thus worse than the value of 6.38 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.'

• Looking at the maximum reduction from previous high of -39.3 days 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 (-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 under water over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 355 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• During the last 3 years, the maximum days below previous high is 227 days, which is greater, thus worse than the value of 119 days from the benchmark.

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.'

• Compared with the benchmark SPY (32 days) in the period of the last 5 years, the average days under water of 92 days of iShares MSCI Pacific Ex-Japan Index Fund is larger, thus worse.
• Looking at average time in days below previous high water mark in of 60 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (25 days).