iShares MSCI Australia Index Fund (EWA)

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, or increase in value over 5 years of iShares MSCI Australia Index Fund is 31.8%, which is lower, thus worse compared to the benchmark SPY (86.8%) in the same period.
• During the last 3 years, the total return, or performance is 3.1%, which is lower, thus worse than the value of 26.3% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of iShares MSCI Australia Index Fund is 5.7%, which is smaller, thus worse compared to the benchmark SPY (13.3%) in the same period.
• During the last 3 years, the annual return (CAGR) is 1%, which is lower, thus worse than the value of 8.1% from the benchmark.

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 30 days standard deviation of 27% in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.9%)
• Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 19.9% 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%) in the period of the last 5 years, the downside risk of 19.5% of iShares MSCI Australia Index Fund is greater, thus worse.
• Looking at downside deviation in of 13.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.1%).

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.'

• Compared with the benchmark SPY (0.52) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.12 of iShares MSCI Australia Index Fund is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of -0.07 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.32).

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.'

• Compared with the benchmark SPY (0.72) in the period of the last 5 years, the excess return divided by the downside deviation of 0.16 of iShares MSCI Australia Index Fund is smaller, thus worse.
• Looking at downside risk / excess return profile in of -0.11 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.46).

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 Ratio of 11 in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.33 )
• Looking at Ulcer Index in of 10 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

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 drop from peak to valley over 5 years of iShares MSCI Australia Index Fund is -45.5 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -24.9 days, which is lower, thus worse than the value of -24.5 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 482 days of iShares MSCI Australia Index Fund is smaller, thus better.
• Looking at maximum days below previous high in of 482 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (488 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 days below previous high of 137 days in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (122 days)
• Looking at average time in days below previous high water mark in of 184 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (178 days).