iShares MSCI Australia Index Fund (EWA)

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 (94.2%) in the period of the last 5 years, the total return of 25.5% of iShares MSCI Australia Index Fund is lower, thus worse.
• Looking at total return, or performance in of 11.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (34.4%).

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 annual return (CAGR) of 4.7% in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.2%)
• Compared with SPY (10.4%) in the period of the last 3 years, the annual return (CAGR) of 3.7% 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 historical 30 days volatility of 27.4% in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21%)
• Looking at volatility in of 20.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.5%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside deviation of 19.8% 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 (15%)
• During the last 3 years, the downside volatility is 13.9%, which is higher, thus worse than the value of 12.3% 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.'

• Looking at the risk / return profile (Sharpe) of 0.08 in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.56)
• Compared with SPY (0.45) in the period of the last 3 years, the Sharpe Ratio of 0.06 is smaller, thus worse.

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 (0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.11 of iShares MSCI Australia Index Fund is smaller, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 0.09, which is lower, thus worse than the value of 0.64 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Index of 12 in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.33 )
• Looking at Ulcer Ratio in of 10 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.87 ).

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 reduction from previous high over 5 years of iShares MSCI Australia Index Fund is -45.5 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high in of -24.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-22.4 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.'

• Looking at the maximum days under water of 482 days in the last 5 years of iShares MSCI Australia Index Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 482 days, which is higher, thus worse than the value of 375 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 (122 days) in the period of the last 5 years, the average time in days below previous high water mark of 137 days of iShares MSCI Australia Index Fund is larger, thus worse.
• Looking at average time in days below previous high water mark in of 168 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (113 days).