iShares MSCI Pacific Ex-Japan Index Fund (EPP)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 49.6%, which is lower, thus worse compared to the benchmark SPY (105.6%) in the same period.
• Looking at total return in of 36.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (66.9%).

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.'

• Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the annual performance (CAGR) of 8.4% of iShares MSCI Pacific Ex-Japan Index Fund is lower, thus worse.
• Compared with SPY (18.7%) in the period of the last 3 years, the annual return (CAGR) of 11.1% 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.'

• The 30 days standard deviation over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 17.5%, which is greater, thus worse compared to the benchmark SPY (17.4%) in the same period.
• Looking at historical 30 days 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%).

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 volatility over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 12%, which is larger, thus worse compared to the benchmark SPY (11.9%) in the same period.
• Compared with SPY (11.2%) in the period of the last 3 years, the downside volatility of 12.1% 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.'

• The risk / return profile (Sharpe) over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 0.34, which is smaller, thus worse compared to the benchmark SPY (0.75) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.48, which is lower, thus worse than the value of 0.96 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.'

• Looking at the ratio of annual return and downside deviation of 0.49 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 (1.1)
• Looking at ratio of annual return and downside deviation in of 0.71 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.45).

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.'

• Looking at the Ulcer Index of 10 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 (8.43 )
• Compared with SPY (4.22 ) in the period of the last 3 years, the Ulcer Index of 7.67 is greater, 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.'

• The maximum DrawDown over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is -26.3 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -19.3 days, which is smaller, thus worse than the value of -18.8 days from the benchmark.

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.'

• The maximum days under water over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 827 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (97 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 365 days is larger, thus worse.

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.'

• The average days under water over 5 years of iShares MSCI Pacific Ex-Japan Index Fund is 301 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days under water is 116 days, which is higher, thus worse than the value of 27 days from the benchmark.