iShares MSCI Germany Index Fund (EWG)

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 (77.6%) in the period of the last 5 years, the total return, or performance of 13.3% of iShares MSCI Germany Index Fund is lower, thus worse.
• Compared with SPY (53.5%) in the period of the last 3 years, the total return, or performance of 15.6% is smaller, 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 annual performance (CAGR) of 2.5% in the last 5 years of iShares MSCI Germany Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.2%)
• Looking at compounded annual growth rate (CAGR) in of 5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (15.4%).

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.'

• The historical 30 days volatility over 5 years of iShares MSCI Germany Index Fund is 17.1%, which is larger, thus worse compared to the benchmark SPY (13.3%) in the same period.
• During the last 3 years, the volatility is 14.9%, which is higher, thus worse than the value of 13% from the benchmark.

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.'

• Compared with the benchmark SPY (9.6%) in the period of the last 5 years, the downside deviation of 12.6% of iShares MSCI Germany Index Fund is higher, thus worse.
• During the last 3 years, the downside volatility is 10.8%, which is greater, thus worse than the value of 9.4% from the benchmark.

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.'

• Compared with the benchmark SPY (0.73) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0 of iShares MSCI Germany Index Fund is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.16, which is smaller, thus worse than the value of 0.99 from the benchmark.

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 Germany Index Fund is 0, which is lower, thus worse compared to the benchmark SPY (1.01) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.23, which is lower, thus worse than the value of 1.37 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of iShares MSCI Germany Index Fund is 14 , which is greater, thus worse compared to the benchmark SPY (3.97 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 14 , which is higher, thus worse than the value of 4.1 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -29.8 days of iShares MSCI Germany Index Fund is lower, thus worse.
• Looking at maximum reduction from previous high in of -29.8 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 days).

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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 519 days of iShares MSCI Germany Index Fund is larger, thus worse.
• Looking at maximum days under water in of 519 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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 below previous high over 5 years of iShares MSCI Germany Index Fund is 223 days, which is larger, thus worse compared to the benchmark SPY (42 days) in the same period.
• Compared with SPY (37 days) in the period of the last 3 years, the average days under water of 194 days is larger, thus worse.