iShares MSCI Pacific Ex-Japan Index Fund (EPP)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return of -13.1% 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 (36.4%)
• Compared with SPY (14.9%) in the period of the last 3 years, the total return of -16.5% 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.'

• Looking at the compounded annual growth rate (CAGR) of -2.8% 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 (6.4%)
• Compared with SPY (4.7%) in the period of the last 3 years, the annual performance (CAGR) of -5.8% is smaller, 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.'

• The volatility over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 20.6%, which is greater, thus worse compared to the benchmark SPY (17.8%) in the same period.
• Compared with SPY (20%) in the period of the last 3 years, the 30 days standard deviation of 21.3% is higher, thus worse.

DownVol:

'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.'

• The downside deviation over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 15.6%, which is greater, thus worse compared to the benchmark SPY (13.2%) in the same period.
• Compared with SPY (15.1%) in the period of the last 3 years, the downside risk of 16.5% is higher, thus worse.

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.'

• Looking at the risk / return profile (Sharpe) of -0.26 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 (0.22)
• Looking at Sharpe Ratio in of -0.39 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.11).

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 downside risk / excess return profile over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is -0.34, which is lower, thus worse compared to the benchmark SPY (0.3) in the same period.
• Looking at excess return divided by the downside deviation in of -0.5 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.15).

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 (4.93 ) in the period of the last 5 years, the Downside risk index of 11 of iShares MSCI Pacific Ex-Japan Index Fund is greater, thus worse.
• Compared with SPY (5.58 ) in the period of the last 3 years, the Ulcer Ratio of 7.63 is larger, thus worse.

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)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -39.3 days is lower, thus worse.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• Looking at the maximum days below previous high of 483 days 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 (187 days)
• Looking at maximum days below previous high in of 355 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

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 159 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 (42 days)
• Looking at average time in days below previous high water mark in of 106 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (36 days).