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 16.2% 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 (58.9%)
• Compared with SPY (33.9%) in the period of the last 3 years, the total return, or increase in value of 18.1% is lower, thus worse.

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.'

• Compared with the benchmark SPY (9.7%) in the period of the last 5 years, the annual return (CAGR) of 3.1% of iShares MSCI Pacific Ex-Japan Index Fund is smaller, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.7%, which is lower, thus worse than the value of 10.2% from the benchmark.

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 30 days standard deviation of 22.2% 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 (21.6%)
• Compared with SPY (25%) in the period of the last 3 years, the historical 30 days volatility of 26.3% is higher, thus worse.

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 (15.7%) in the period of the last 5 years, the downside volatility of 16.1% of iShares MSCI Pacific Ex-Japan Index Fund is higher, thus worse.
• During the last 3 years, the downside deviation is 19%, which is greater, thus worse than the value of 18.1% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 0.03, which is lower, thus worse compared to the benchmark SPY (0.33) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.12, which is lower, thus worse than the value of 0.31 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The excess return divided by the downside deviation over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 0.03, which is smaller, thus worse compared to the benchmark SPY (0.46) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.17 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.43).

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.'

• Compared with the benchmark SPY (8.91 ) in the period of the last 5 years, the Ulcer Index of 11 of iShares MSCI Pacific Ex-Japan Index Fund is higher, thus worse.
• Compared with SPY (11 ) in the period of the last 3 years, the Ulcer Index of 12 is higher, thus worse.

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.'

• The maximum reduction from previous high over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is -39.3 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -37.6 days in the period of the last 3 years, we see it is relatively smaller, 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 418 days, which is larger, thus worse compared to the benchmark SPY (271 days) in the same period.
• Compared with SPY (271 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 418 days is higher, thus worse.

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.'

• The average days under water over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 150 days, which is greater, thus worse compared to the benchmark SPY (60 days) in the same period.
• Looking at average days below previous high in of 150 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (72 days).